Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 100 F Street, NE,
Washington, DC 20549. The OMB has reviewed this collection of information under
the clearance requirements of 44 U.S.C. ss. 3507.
Item 1. Report to Stockholders.
The registrant's annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1) is as follows:
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
ANNUAL REPORT JULY 31, 2007
SECTOR SERIES
First Trust Consumer Discretionary AlphaDEX(TM) Fund
First Trust Consumer Staples AlphaDEX(TM) Fund
First Trust Energy AlphaDEX(TM) Fund
First Trust Financials AlphaDEX(TM) Fund
First Trust Health Care AlphaDEX(TM) Fund
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund
First Trust Materials AlphaDEX(TM)
Fund First Trust Technology AlphaDEX(TM)
Fund First Trust Utilities AlphaDEX(TM) Fund
CORE SERIES
First Trust Large Cap Core AlphaDEX(TM) Fund
First Trust Mid Cap Core AlphaDEX(TM) Fund
First Trust Small Cap Core AlphaDEX(TM)Fund
STYLE SERIES
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund
MULTI CAP SERIES
First Trust Multi Cap Value AlphaDEX(TM) Fund
First Trust Multi Cap Growth AlphaDEX(TM) Fund
[LOGO OMITTED] AlphaDEX (TM)
Family of ETFs
AlphaDEX(TM) is a trademartk of First Trust Portfolios L.P.
Front Cover
Table of Contents
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
Shareholder Letter...................................................... 2
Market Overview......................................................... 3
Fund Performance Overview
First Trust Consumer Discretionary AlphaDEX(TM) Fund.............. 4
First Trust Consumer Staples AlphaDEX(TM) Fund.................... 6
First Trust Energy AlphaDEX(TM) Fund.............................. 8
First Trust Financials AlphaDEX(TM) Fund.......................... 10
First Trust Health Care AlphaDEX(TM) Fund......................... 12
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund....... 14
First Trust Materials AlphaDEX(TM) Fund........................... 16
First Trust Technology AlphaDEX(TM) Fund.......................... 18
First Trust Utilities AlphaDEX(TM) Fund........................... 20
First Trust Large Cap Core AlphaDEX(TM) Fund...................... 22
First Trust Mid Cap Core AlphaDEX(TM) Fund........................ 24
First Trust Small Cap Core AlphaDEX(TM) Fund...................... 26
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund....... 28
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund...... 30
First Trust Multi Cap Value AlphaDEX(TM) Fund..................... 32
First Trust Multi Cap Growth AlphaDEX(TM) Fund.................... 34
Notes to Fund Performance Overview...................................... 36
Understanding Your Fund Expenses........................................ 37
Portfolio of Investments
First Trust Consumer Discretionary AlphaDEX(TM) Fund.............. 39
First Trust Consumer Staples AlphaDEX(TM) Fund.................... 41
First Trust Energy AlphaDEX(TM) Fund.............................. 42
First Trust Financials AlphaDEX(TM) Fund.......................... 43
First Trust Health Care AlphaDEX(TM) Fund......................... 46
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund....... 47
First Trust Materials AlphaDEX(TM) Fund........................... 48
First Trust Technology AlphaDEX(TM) Fund.......................... 49
First Trust Utilities AlphaDEX(TM) Fund........................... 51
First Trust Large Cap Core AlphaDEX(TM) Fund...................... 52
First Trust Mid Cap Core AlphaDEX(TM) Fund........................ 58
First Trust Small Cap Core AlphaDEX(TM) Fund...................... 63
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund....... 70
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund...... 74
First Trust Multi Cap Value AlphaDEX(TM) Fund..................... 78
First Trust Multi Cap Growth AlphaDEX(TM) Fund.................... 86
Statements of Assets and Liabilities.................................... 94
Statements of Operations................................................ 98
Statements of Changes in Net Assets..................................... 102
Financial Highlights.................................................... 106
Notes to Financial Statements........................................... 114
Report of Independent Registered Public Accounting Firm................. 121
Additional Information.................................................. 122
Board of Trustees and Officers.......................................... 125
Risk Considerations..................................................... 127
|
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
Section 27A of the Securities Act of 1933. Forward-looking statements include
statements regarding the goals, beliefs, plans or current expectations of First
Trust Advisors L.P. (the "Advisor") and its representatives, taking into account
the information currently available to them. Forward-looking statements include
all statements that do not relate solely to current or historical fact. For
example, forward-looking statements include the use of words such as
"anticipate," "estimate," "intend," "expect," "believe," "plan," "may,"
"should," "would" or other words that convey uncertainty of future events or
outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
First Trust Exchange-Traded AlphaDEX(TM) Fund (the "Trust") to be materially
different from any future results, performance or achievements expressed or
implied by the forward-looking statements. When evaluating the information
included in this report, you are cautioned not to place undue reliance on these
forward-looking statements, which reflect the judgment of the Advisor and its
representatives only as of the date hereof. We undertake no obligation to
publicly revise or update these forward-looking statements to reflect events and
circumstances that arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund (individually called a "Fund" and
collectively, the "Funds") of the Trust will achieve its investment objective.
Each Fund of the Trust is subject to market risk, which is the possibility that
the market values of securities owned by the Fund will decline and that the
value of the Fund shares may therefore be less than what you paid for them.
Accordingly, you can lose money investing in a Fund.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
http://www.ftportfolios.com or speak with your financial advisor. Investment
returns, net asset value and market price will fluctuate and Fund shares may be
worth more or less than their original cost.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about the portfolios and presents data and analysis that
provide insight into each Fund's performance and investment approach.
By reading the letter from the President of the Trust, James A. Bowen, together
with the portfolio commentary by Robert F. Carey, Chief Investment Officer of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by Mr. Bowen and Mr.
Carey are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. Of course, the risks of investing in each
Fund are spelled out in its prospectus.
Page 1
Shareholder Letter
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
ANNUAL REPORT
FOR THE PERIOD MAY 8, 2007 (INCEPTION DATE) TO JULY 31, 2007
Dear Shareholders:
We believe investment opportunities abound, both here and abroad, affording the
potential for exceptional returns for investors. At First Trust Advisors L.P.
("First Trust"), we realize that we must be mindful of the complexities of the
global economy and at the same time address the needs of our customers through
the types of investments we bring to market.
First Trust is single-minded about providing a range of investment products,
including our family of exchange-traded funds ("ETFs"), to help us meet the
challenge of maximizing our customers' financial opportunities. Translating
investment ideas into products which can deliver performance over the long-term
while continuing to support our current product line remains a focus for First
Trust as we head into the future.
Over the past 12 months, we have added 25 ETFs to our family of funds, including
16 AlphaDEX(TM) exchange-traded funds, one or more of which you have purchased.
The AlphaDEX(TM) exchange-traded funds are designed to track the performance of
a group of custom "enhanced" indices created by Standard & Poor's or the
American Stock Exchange LLC. We are proud to bring these unique investments to
our customers, and are pleased you have chosen the AlphaDEX(TM) exchange-traded
fund(s) for a portion of your investment portfolio.
The report you hold will give you detailed information about each fund in the
First Trust Exchange-Traded AlphaDEX(TM) Fund for the period from May 8, 2007
(inception date) to July 31, 2007. I encourage you to read this report and
discuss it with your financial advisor. First Trust will continue to offer you
current information about your investment, as well as new opportunities in the
financial marketplace, through your financial advisor. We value our relationship
with you and appreciate the opportunity to assist you in achieving your
financial goals.
Sincerely,
/s/ James A. Bowen
James A. Bowen
President of First Trust Exchange-Traded AlphaDEX(TM) Fund
September 14, 2007
|
Page 2
Market Overview
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
ANNUAL REPORT
FOR THE PERIOD MAY 8, 2007 TO JULY 31, 2007
[PHOTO OMITTED]
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF INVESTMENT OFFICER
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has 21 years of experience as an Equity
and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst
("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
MARKET OVERVIEW. The equities markets were mixed in the first seven months of
2007. The S&P 500 Index posted a total return of 3.64%, while the S&P MidCap 400
Index and Russell 2000 Index of small-caps returned 7.15% and -0.83%,
respectively. According to Ibbotson Associates, the S&P 500 Index averaged
10.42% a year from 1926 through 2006, while small-cap stocks averaged 12.69%.
Both large- and small-caps are lagging their historical pace as of July. Mid-cap
issues continue to be the sweet spot of the market. We believe mid-caps are
outperforming their two counterparts because their size makes them attractive to
private equity firms and others looking to make acquisitions. Private equity
firms, in particular, are well-capitalized so small companies are not big enough
to meet the needs of such firms, while most large companies are out of reach.
With interest rates still at relatively low levels, we believe merger and
acquisition activity will remain strong through at least the end of this year.
With respect to fixed-income securities, the Lehman Brothers U.S. Treasury:
Intermediate Index posted a total return of 4.48% in the first seven months of
2007. From 1926 through 2006, Treasury bonds returned 5.42%, on average,
according to Ibbotson Associates. At this juncture they are on pace to achieve
or top their average. Treasury securities, in our opinion, have benefited from a
flight to quality inspired by heavy selling in speculative-grade debt in July.
The Federal Reserve Board (the "Fed") has held the federal funds rate at 5.25%
over the past 12 months. The Fed has been monitoring the weakness in the housing
market and weighing its influence against the overall strength of the economy.
Its primary concern is curbing inflation, which is still tracking above its 2.0%
ceiling. The Fed also has a new concern on its hands: sub-prime mortgages. A
high percentage of sub-prime mortgages written in recent years were
adjustable-rate. Unfortunately, some of these homeowners will not be able to
afford their homes once these mortgages reset higher over the next 6-12 months.
In fact, foreclosures were already 93% higher in July 2007 versus the same
period a year ago, according to RealtyTrac. As of June, the Fed did not believe
the sub-prime fallout would derail the current economic expansion, according to
Fed Chairman Ben Bernanke. Despite the good showing by government bonds in 2007,
we still favor equities over debt in the current climate.
The outlook for large-cap stocks is more optimistic than for mid- and small-cap
stocks at this stage of the economic cycle, in our opinion. Mid- and small-caps
have dominated their larger counterparts since the start of this decade. From
December 31, 1999 through July 31, 2007, the S&P 500 Index posted a cumulative
total return of 12.07%, which paled in comparison to the 109.80% gain posted by
the S&P Midcap 400 Index and the 69.82% gain posted by the Russell 2000 Index.
The primary reason for the anticipated shift in sentiment is the tempering of
economic growth due to weakness in the housing market and fallout from sub-prime
mortgages. The Blue Chip Economic Consensus Forecast out in July called for 2.1%
GDP growth in 2007, well below last year's 3.3% growth rate and the 3.9% growth
registered in 2004.
Page 3
Fund Performance Overview
FXD - FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND
The First Trust Consumer Discretionary AlphaDEX(TM) Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the StrataQuant(TM) Consumer
Discretionary Index (the "Consumer Discretionary Index"). The Fund will normally
invest at least 90% of its total assets in common stocks that comprise the
Consumer Discretionary Index. The Shares of the Fund are listed and trade on the
American Stock Exchange LLC (the "AMEX") under the ticker symbol "FXD." The Fund
began trading on May 10, 2007.
The Consumer Discretionary Index is a modified equal-dollar weighted index
designed by the AMEX to objectively identify and select stocks from the Russell
1000(R) Index that may generate positive alpha relative to traditional passive
style indices through the use of the AlphaDEX(TM) screening methodology. Alpha
is an indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark (Russell 1000(R) Consumer
Discretionary and Services Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -5.85%
Market Price -5.80%
INDEX PERFORMANCE
Russell 1000(R) Index -3.26%
StrataQuant(TM) Consumer Discretionary Index -5.61%
Russell 1000(R) Consumer Discretionary and Services Index -4.94%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total
return of -5.85%, slightly underperforming the Russell 1000(R) Consumer
Discretionary and Services Index return of -4.94%. Fund performance was hurt by
retail stocks which came under pressure during the period as questions about the
sustainability of economic growth were raised.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were Crocs, Inc., Hilton Hotels Corp. and Amazon.com,
Inc. The worst-performing stocks, by percentage loss, were Foot Locker, Inc.,
Convergys Corp. and RadioShack Corp.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Consumer Discretionary 79.76%
Industrials 10.25
Information Technology 6.98
Consumer Staples 3.85
Materials 0.50
Net Other Assets and Liabilities (1.34)
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
Crocs, Inc. 1.81%
Amazon.com, Inc. 1.50
aQuantive, Inc. 1.36
GameStop Corp., Class A 1.35
Liberty Global, Inc., Class A 1.34
CDW Corp. 1.30
Guess?, Inc. 1.29
McClatchy (The) Co., Class A 1.26
Penn National Gaming Inc. 1.25
Liz Claiborne, Inc. 1.23
-----
Total 13.69%
=====
----------
|
The StrataQuant(TM) Consumer Discretionary Index is a trademark of the AMEX and
has been licensed for use by First Trust Portfolios L.P. The First Trust
Consumer Discretionary AlphaDEX(TM) Fund is not sponsored, endorsed, sold or
promoted by the AMEX and the AMEX makes no representation or warranty regarding
the advisability of investing in the Fund or as to the result to be obtained by
any person from use of the StrataQuant(TM) Consumer Discretionary Index in
connection with the trading of the Fund.
Page 4
Fund Performance Overview (Continued)
FXD - FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
---------------------------------------------------------------------------------------------------------------------
First Trust StrataQuant(TM)
Consumer Discretionary Consumer Russell 1000(R) Russell 1000(R) Consumer
AlphaDEX(TM) Fund Discretionary Index Index Discretionary and Services Index
---------------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000
7/31/2007 $ 9,415 $ 9,439 $ 9,674 $ 9,506
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 15 0 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 42 0 0 0
|
Page 5
Fund Performance Overview (Continued)
FXG - FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND
The First Trust Consumer Staples AlphaDEX(TM) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(TM) Consumer Staples
Index (the "Consumer Staples Index"). The Fund will normally invest at least 90%
of its total assets in common stocks that comprise the Consumer Staples Index.
The Shares of the Fund are listed and trade on the AMEX under the ticker symbol
"FXG." The Fund began trading on May 10, 2007.
The Consumer Staples Index is a modified equal-dollar weighted index designed by
the AMEX to objectively identify and select stocks from the Russell 1000(R)
Index that may generate positive alpha relative to traditional passive style
indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark (Russell 1000(R) Consumer Staples
Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -4.45%
Market Price -4.45%
INDEX PERFORMANCE
Russell 1000(R) Index -3.26%
StrataQuant(TM) Consumer Staples Index -4.26%
Russell 1000(R) Consumer Staples Index -2.20%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total
return of -4.45%, underperforming the Russell 1000(R) Consumer Staples Index
return of -2.20%. Beverage companies performed well over the period, leading
Fund performance. Performance was hurt by the Fund's grocery and drug retailers
whose performance trailed the benchmark.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were PepsiAmericas, Inc., Hansen Natural Corp. and
Wm. Wrigley Jr. Co. The worst-performing stocks, by percentage loss, were Rite
Aid Corp., Dean Foods Co. and SUPERVALU, Inc.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Consumer Staples 100.81%
Net Other Assets and Liabilities (0.81)
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
PepsiAmericas, Inc. 6.60%
Molson Coors Brewing Co., Class B 5.64
Safeway, Inc. 5.49
Dean Foods Co. 5.29
SUPERVALU, Inc. 5.27
Rite Aid Corp. 5.06
Smithfield Foods, Inc. 4.73
Loews Corp. - Carolina Group 4.60
Del Monte Foods Co. 4.47
Kroger (The) Co. 4.33
-----
Total 51.48%
=====
----------
|
The StrataQuant(TM) Consumer Staples Index is a trademark of the AMEX and has
been licensed for use by First Trust Portfolios L.P. The First Trust Consumer
Staples AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the
AMEX and the AMEX makes no representation or warranty regarding the advisability
of investing in the Fund or as to the result to be obtained by any person from
use of the StrataQuant(TM) Consumer Staples Index in connection with the trading
of the Fund.
Page 6
Fund Performance Overview (Continued)
FXG - FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------------------------------------------
First Trust StrataQuant(TM)
Consumer Staples Consumer Russell 1000(R) Russell 1000(R) Consumer
AlphaDEX(TM) Fund Staples Index Index Staples Index
-------------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000
7/31/2007 $ 9,555 $ 9,574 $ 9,674 $ 9,780
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 27 0 1 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 29 0 0 0
|
Page 7
Fund Performance Overview (Continued)
FXN - FIRST TRUST ENERGY ALPHADEX(TM) FUND
The First Trust Energy AlphaDEX(TM) Fund (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the StrataQuant(TM) Energy Index (the
"Energy Index"). The Fund will normally invest at least 90% of its total assets
in common stocks that comprise the Energy Index. The Shares of the Fund are
listed and trade on the AMEX under the ticker symbol "FXN." The Fund began
trading on May 10, 2007.
The Energy Index is a modified equal-dollar weighted index designed by the AMEX
to objectively identify and select stocks from the Russell 1000(R) Index that
may generate positive alpha relative to traditional passive style indices
through the use of the AlphaDEX(TM) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark (Russell 1000(R) Integrated Oils
Index and Russell 1000(R) Other Energy Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV 3.70%
Market Price 3.75%
INDEX PERFORMANCE
Russell 1000(R) Index -3.26%
StrataQuant(TM) Energy Index 3.87%
Russell 1000(R) Integrated Oils Index 7.37%
Russell 1000(R) Other Energy Index 4.00%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total
return of 3.70%, trailing both the Russell 1000(R) Integrated Oils Index (7.37%
return) and the Russell 1000(R) Other Energy Index (4.00% return). Strong
performance of the Fund's energy services components was unable to make up for
the relative underperformance of the Fund's energy production components.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were National Oilwell Varco, Inc., Global Industries
Ltd. and ConocoPhillips. The worst-performing stocks, by percentage loss, were
Plains Exploration & Production Co., Western Refining, Inc. and Patterson-UTI
Energy, Inc.
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Energy 98.12%
Utilities 2.37
Net Other Assets and Liabilities (0.49)
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
ConocoPhillips 3.29%
Continental Resources, Inc. 3.14
Global Industries Ltd. 3.08
Cimarex Energy Co. 3.06
Western Refining, Inc. 3.06
National Oilwell Varco, Inc. 2.94
Helmerich & Payne, Inc. 2.92
Holly Corp. 2.90
Valero Energy Corp. 2.90
Plains Exploration & Production Co. 2.88
-----
Total 30.17%
=====
----------
|
The StrataQuant(TM) Energy Index is a trademark of the AMEX and has been
licensed for use by First Trust Portfolios L.P. The First Trust Energy
AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and
the AMEX makes no representation or warranty regarding the advisability of
investing in the Fund or as to the result to be obtained by any person from use
of the StrataQuant(TM) Energy Index in connection with the trading of the Fund.
Page 8
Fund Performance Overview (Continued)
FXN - FIRST TRUST ENERGY ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
---------------------------------------------------------------------------------------------------------------
First Trust StrataQuant(TM) Russell 1000(R) Russell 1000(R)
Energy Energy Russell 1000(R) Integrated Oils Other Energy
AlphaDEX(TM) Fund Index Index Index Index
---------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000 $10,000
7/31/2007 $10,370 $10,387 $ 9,674 $10,737 $10,400
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 27 1 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 29 0 0 0
|
Page 9
Fund Performance Overview (Continued)
FXO - FIRST TRUST FINANCIALS ALPHADEX(TM) FUND
The First Trust Financials AlphaDEX(TM) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(TM) Financials Index
(the "Financials Index"). The Fund will normally invest at least 90% of its
total assets in common stocks that comprise the Financials Index. The Shares of
the Fund are listed and trade on the AMEX under the ticker symbol "FXO." The
Fund began trading on May 10, 2007.
The Financials Index is a modified equal-dollar weighted index designed by the
AMEX to objectively identify and select stocks from the Russell 1000(R) Index
that may generate positive alpha relative to traditional passive style indices
through the use of the AlphaDEX(TM) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark (Russell 1000(R) Financial
Services Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -10.45%
Market Price -10.35%
INDEX PERFORMANCE
StrataQuant(TM) Financials Index -10.14%
Russell 1000(R) Index -3.26%
Russell 1000(R) Financial Services Index -10.82%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total
return of -10.45%, outperforming the Russell 1000(R) Financial Services Index
return of -10.82%. Fund performance, relative to the broader market (Russell
1000(R) Index), was hurt by sub-prime mortgage concerns which roiled global
credit markets toward the end of the period.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were Alliance Data Systems Corp., CBOT Holdings,
Class A and Alleghany Corp. The worst-performing stocks, by percentage loss,
were Radian Group, Inc., MGIC Investment Corp. and PMI Group (The), Inc.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Financials 88.65%
Information Technology 6.56
Industrials 4.10
Consumer Discretionary 1.13
Health Care 0.87
Net Other Assets and Liabilities (1.31)
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
IntercontinentalExchange, Inc. 1.16%
Ryder System, Inc. 1.14
Dow Jones & Co., Inc. 1.13
Alliance Data Systems Corp. 1.12
United Rental, Inc. 1.12
TFS Financial Corp. 1.11
Jones Lang LaSalle, Inc. 1.10
MasterCard, Inc., Class A 1.10
Arch Capital Group Ltd. 1.09
A.G. Edwards, Inc. 1.08
-----
Total 11.15%
=====
----------
|
The StrataQuant(TM) Financials Index is a trademark of the AMEX and has been
licensed for use by First Trust Portfolios L.P. The First Trust Financials
AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and
the AMEX makes no representation or warranty regarding the advisability of
investing in the Fund or as to the result to be obtained by any person from use
of the StrataQuant(TM) Financials Index in connection with the trading of the
Fund.
Page 10
Fund Performance Overview (Continued)
FXO - FIRST TRUST FINANCIALS ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------------------------------------------
First Trust StrataQuant(TM)
Financials Financials Russell 1000(R) Russell 1000(R)
AlphaDEX(TM) Fund Index Index Financial Services Index
-------------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000
7/31/2007 $ 8,955 $ 8,986 $ 9,674 $ 8,918
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 19 0 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 38 0 0 0
|
Page 11
Fund Performance Overview (Continued)
FXH - FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND
The First Trust Health Care AlphaDEX(TM) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(TM) Health Care Index
(the "Health Care Index"). The Fund will normally invest at least 90% of its
total assets in common stocks that comprise the Health Care Index. The Shares of
the Fund are listed and trade on the AMEX under the ticker symbol "FXH." The
Fund began trading on May 10, 2007.
The Health Care Index is a modified equal-dollar weighted index designed by AMEX
to objectively identify and select stocks from the Russell 1000(R) Index that
may generate positive alpha relative to traditional passive style indices
through the use of the AlphaDEX(TM) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark (Russell 1000(R) Health Care
Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -2.60%
Market Price -2.50%
INDEX PERFORMANCE
Russell 1000(R) Index -3.26%
StrataQuant(TM) Health Care Index -2.36%
Russell 1000(R) Health Care Index -7.09%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total
return of -2.60%, outperforming the Russell 1000(R) Health Care Index return of
-7.09%. Fund performance was led by health care equipment and services firms,
while performance was hurt by the Fund's pharmaceuticals and biotechnology
holdings.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were Intuitive Surgical, Inc., Dade Behring Holdings,
Inc. and Cytyc Corp. The worst-performing stocks, by percentage loss, were
LifePoint Hospitals, Inc., ImClone Systems, Inc. and King Pharmaceuticals, Inc.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Health Care 94.57%
Industrials 1.95
Consumer Staples 1.74
Net Other Assets and Liabilities 1.74
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
Intuitive Surgical, Inc. 2.77%
WellCare Health Plans, Inc. 2.71
Humana, Inc. 2.55
Dade Behring Holdings, Inc. 2.54
Medco Health Solutions, Inc. 2.52
Express Scripts, Inc. 2.42
Cytyc Corp. 2.36
Manor Care, Inc. 2.35
Schering-Plough Corp. 2.27
Watson Pharmaceuticals, Inc. 2.26
-----
Total 24.75%
=====
----------
|
The StrataQuant(TM) Health Care Index is a trademark of the AMEX and has been
licensed for use by First Trust Portfolios L.P. The First Trust Health Care
AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and
the AMEX makes no representation or warranty regarding the advisability of
investing in the Fund or as to the result to be obtained by any person from use
of the StrataQuant(TM) Health Care Index in connection with the trading of the
Fund.
Page 12
Fund Performance Overview (Continued)
FXH - FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------------------------------------------
First Trust StrataQuant(TM)
Health Care Health Care Russell 1000(R) Russell 1000(R)
AlphaDEX(TM) Fund Index Index Health Care Index
-------------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000
7/31/2007 $ 9,740 $ 9,764 $ 9,674 $ 9,291
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 27 0 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 30 0 0 0
|
Page 13
Fund Performance Overview (Continued)
FXR - FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND
The First Trust Industrials/Producer Durables AlphaDEX(TM) Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the
StrataQuant(TM) Industrials Index (the "Industrials Index"). The Fund will
normally invest at least 90% of its total assets in common stocks that comprise
the Industrials Index. The Shares of the Fund are listed and trade on the AMEX
under the ticker symbol "FXR." The Fund began trading on May 10, 2007.
The Industrials Index is a modified equal-dollar weighted index designed by the
AMEX to objectively identify and select stocks from the Russell 1000(R) Index
that may generate positive alpha relative to traditional passive style indices
through the use of the AlphaDEX(TM) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark (Russell 1000(R) Producer Durables
Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -5.65%
Market Price -5.40%
INDEX PERFORMANCE
Russell 1000(R) Index -3.26%
StrataQuant(TM) Industrials Index -5.43%
Russell 1000(R) Producer Durables Index 2.91%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total
return of -5.65%, trailing the Russell 1000(R) Producer Durables Index return of
2.91%. Machinery and aerospace and defense companies were among the stronger
performers in the Fund. Fund performance was hurt by an overweight position
(relative to the benchmark) in homebuilders, which declined significantly over
the period.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were Cummins, Inc., Varian Semiconductor Equipment
Associates, Inc. and Flowserve Corp. The worst-performing stocks, by percentage
loss, were Beazer Homes USA, Inc., D.R. Horton, Inc. and Toll Brothers, Inc.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Industrials 66.51%
Information Technology 15.94
Consumer Discretionary 15.83
Telecommunication Services 2.00
Net Other Assets and Liabilities (0.28)
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
Cummins, Inc. 4.06%
Terex Corp. 3.67
General Cable Corp. 3.63
BE Aerospace, Inc. 3.40
Manitowoc (The) Co., Inc. 3.34
Varian Semiconductor Equipment Associates, Inc. 3.25
Kennametal, Inc. 3.23
Ryland Group (The), Inc. 3.08
Toll Brothers, Inc. 3.04
NVR, Inc. 2.94
-----
Total 33.64%
=====
----------
|
The StrataQuant(TM) Industrials Index is a trademark of the AMEX and has been
licensed for use by First Trust Portfolios L.P. The First Trust
Industrials/Producer Durables AlphaDEX(TM) Fund is not sponsored, endorsed, sold
or promoted by the AMEX and the AMEX makes no representation or warranty
regarding the advisability of investing in the Fund or as to the result to be
obtained by any person from use of the StrataQuant(TM) Industrials Index in
connection with the trading of the Fund.
Page 14
Fund Performance Overview (Continued)
FXR - FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------------------------------------------
First Trust
Industrials/Producer StrataQuant(TM)
Durables Industrials Russell 1000(R) Russell 1000(R)
AlphaDEX(TM) Fund Index Index Producer Durables Index
-------------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000
7/31/2007 $ 9,435 $ 9,457 $ 9,674 $10,291
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 40 1 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 16 0 0 0
|
Page 15
Fund Performance Overview (Continued)
FXZ - FIRST TRUST MATERIALS ALPHADEX(TM) FUND
The First Trust Materials AlphaDEX(TM) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(TM) Materials Index (the
"Materials Index"). The Fund will normally invest at least 90% of its total
assets in common stocks that comprise the Materials Index. The Shares of the
Fund are listed and trade on the AMEX under the ticker symbol "FXZ." The Fund
began trading on May 10, 2007.
The Materials Index is a modified equal-dollar weighted index designed by the
AMEX to objectively identify and select stocks from the Russell 1000(R) Index
that may generate positive alpha relative to traditional passive style indices
through the use of the AlphaDEX(TM) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark (Russell 1000(R) Materials and
Processing Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV 0.85%
Market Price 0.85%
INDEX PERFORMANCE
Russell 1000(R) Index -3.26%
StrataQuant(TM) Materials Index 1.04%
Russell 1000(R) Materials and Processing Index 1.21%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total
return of 0.85%, trailing the Russell 1000(R) Materials and Processing Index
return of 1.21%. Construction, engineering, chemicals and containers and
packaging were among the portfolio leaders. Building products and materials and
paper related stocks weighed on Fund performance.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were Southern Copper Corp., Owens-Illinois, Inc. and
Freeport-McMoRan Copper & Gold, Inc. The worst-performing stocks, by percentage
loss, were Reliance Steel & Aluminum Co., Nucor Corp. and American Standard
Cos., Inc.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Materials 65.98%
Industrials 27.70
Consumer Staples 4.26
Net Other Assets and Liabilities 2.06
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
Shaw Group (The), Inc. 3.26%
Owens-Illinois, Inc. 3.24
Jacobs Engineering Group, Inc. 3.04
AK Steel Holding Corp. 3.03
McDermott International, Inc. 2.83
Celanese Corp., Series A 2.74
International Paper Co. 2.69
Reliance Steel & Aluminum Co. 2.65
Owens Corning, Inc. 2.57
Westlake Chemical Corp. 2.52
-----
Total 28.57%
=====
----------
|
The StrataQuant(TM) Materials Index is a trademark of the AMEX and has been
licensed for use by First Trust Portfolios L.P. The First Trust Materials
AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and
the AMEX makes no representation or warranty regarding the advisability of
investing in the Fund or as to the result to be obtained by any person from use
of the StrataQuant(TM) Materials Index in connection with the trading of the
Fund.
Page 16
Fund Performance Overview (Continued)
FXZ - FIRST TRUST MATERIALS ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------------------------------------------
First Trust StrataQuant(TM)
Materials Materials Russell 1000(R) Russell 1000(R) Materials
AlphaDEX(TM) Fund Index Index and Processing Index
-------------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000
7/31/2007 $10,085 $10,104 $ 9,674 $10,121
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 27 1 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 29 0 0 0
|
Page 17
Fund Performance Overview (Continued)
FXL - FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND
The First Trust Technology AlphaDEX(TM) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(TM) Technology Index
(the "Technology Index"). The Fund will normally invest at least 90% of its
total assets in common stocks that comprise the Technology Index. The Shares of
the Fund are listed and trade on the AMEX under the ticker symbol "FXL." The
Fund began trading on May 10, 2007.
The Technology Index is a modified equal-dollar weighted index designed by the
AMEX to objectively identify and select stocks from the Russell 1000(R) Index
that may generate positive alpha relative to traditional passive style indices
through the use of the AlphaDEX(TM) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark (Russell 1000(R) Technology
Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV 2.35%
Market Price 2.25%
INDEX PERFORMANCE
Russell 1000(R) Index -3.26%
StrataQuant(TM) Technology Index 2.52%
Russell 1000(R) Technology Index 2.26%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total
return of 2.35%, slightly outperforming the Russell 1000(R) Technology Index
return of 2.26%. Performance was led by computer and semiconductor related
shares. Software and electronics held back Fund performance.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were Cree, Inc., Apple, Inc. and Avaya, Inc. The
worst-performing stocks, by percentage loss, were Avnet, Inc., AVX Corp. and
Vishay Intertechnology, Inc.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Information Technology 89.43%
Industrials 8.23
Consumer Discretionary 2.55
Health Care 0.96
Net Other Assets and Liabilities (1.17)
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
Garmin Ltd. 2.55%
SunPower Corp., Class A 2.52
NVIDIA Corp. 2.49
Western Digital Corp. 2.48
Apple, Inc. 2.43
Cypress Semiconductor Corp. 2.42
Trimble Navigation Ltd. 2.31
EMC Corp. 2.30
ADC Telecommunications, Inc. 2.30
L-3 Communications Holdings, Inc. 2.26
-----
Total 24.06%
=====
----------
|
The StrataQuant(TM) Technology Index is a trademark of the AMEX and has been
licensed for use by First Trust Portfolios L.P. The First Trust Technology
AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and
the AMEX makes no representation or warranty regarding the advisability of
investing in the Fund or as to the result to be obtained by any person from use
of the StrataQuant(TM) Technology Index in connection with the trading of the
Fund.
Page 18
Fund Performance Overview (Continued)
FXL - FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------------------------------------------
First Trust StrataQuant(TM)
Technology Technology Russell 1000(R) Russell 1000(R)
AlphaDEX(TM) Fund Index Index Technology Index
-------------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000
7/31/2007 $10,235 $10,252 $ 9,674 $10,226
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 23 1 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 33 0 0 0
|
Page 19
Fund Performance Overview (Continued)
FXU - FIRST TRUST UTILITIES ALPHADEX(TM) FUND
The First Trust Utilities AlphaDEX(TM) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the StrataQuant(TM) Utilities Index (the
"Utilities Index"). The Fund will normally invest at least 90% of its total
assets in common stocks that comprise the Utilities Index. The Shares of the
Fund are listed and trade on the AMEX under the ticker symbol "FXU." The Fund
began trading on May 10, 2007.
The Utilities Index is a modified equal-dollar weighted index designed by the
AMEX to objectively identify and select stocks from the Russell 1000(R) Index
that may generate positive alpha relative to traditional passive style indices
through the use of the AlphaDEX(TM) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark (Russell 1000(R) Utilities Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -8.15%
Market Price -8.15%
INDEX PERFORMANCE
Russell 1000(R) Index -3.26%
StrataQuant(TM) Utilities Index -7.95%
Russell 1000(R) Utilities Index -4.22%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Since Fund inception (May 8, 2007), the Fund has posted an NAV total
return of -8.15%, underperforming the Russell 1000(R) Utilities Index retrun of
-4.22%. Telecommunications stocks led Fund performance while electric and gas
utilities hurt Fund performance.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were United States Cellular Corp., Leap Wireless
International, Inc. and Telephone and Data Systems, Inc. The worst-performing
stocks, by percentage loss, were Pinnacle West Capital Corp., NiSource, Inc. and
Mirant Corp.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Utilities 80.16%
Telecommunication Services 17.38
Consumer Discretionary 3.11
Net Other Assets and Liabilities (0.65)
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
United States Cellular Corp. 3.39%
Leap Wireless International, Inc. 3.31
Cablevision Systems Corp., Class A 3.11
Puget Energy, Inc. 3.03
Alliant Energy Corp. 3.01
Pinnacle West Capital Corp. 2.98
CenturyTel, Inc. 2.96
Atmos Energy Corp. 2.96
Duke Energy Corp. 2.95
NiSource, Inc. 2.92
-----
Total 30.62%
=====
----------
|
The StrataQuant(TM) Utilities Index is a trademark of the AMEX and has been
licensed for use by First Trust Portfolios L.P. The First Trust Utilities
AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by the AMEX and
the AMEX makes no representation or warranty regarding the advisability of
investing in the Fund or as to the result to be obtained by any person from use
of the StrataQuant(TM) Utilities Index in connection with the trading of the
Fund.
Page 20
Fund Performance Overview (Continued)
FXU - FIRST TRUST UTILITIES ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------------------------------------------
First Trust StrataQuant(TM)
Utilities Utilities Russell 1000(R) Russell 1000(R)
AlphaDEX(TM) Fund Index Index Utilities Index
-------------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000
7/31/2007 $ 9,185 $ 9,205 $ 9,674 $ 9,578
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 27 1 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 29 0 0 0
|
Page 21
Fund Performance Overview (Continued)
FEX - FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND
The First Trust Large Cap Core AlphaDEX(TM) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Large Cap Core Index (the
"Large Cap Core Index"). The Fund will normally invest at least 90% of its total
assets in common stocks that comprise the Large Cap Core Index. The Shares of
the Fund are listed and trade on the AMEX under the ticker symbol "FEX." The
Fund began trading on May 10, 2007.
The Large Cap Core Index is a modified equal-dollar weighted index designed by
Standard & Poor's, a division of the McGraw-Hill Companies, Inc. ("S&P"), to
objectively identify and select stocks from the S&P 500 Index that may generate
positive alpha relative to traditional passive style indices through the use of
the AlphaDEX(TM) screening methodology. Alpha is an indication of how much an
investment outperforms or underperforms on a risk-adjusted basis relative to its
benchmark (S&P 500 Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -4.40%
Market Price -4.43%
INDEX PERFORMANCE
S&P 500 Index -3.10%
Defined Large Cap Core Index -4.21%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Energy, industrials, and information technology, together comprising
about 39% of the Fund's net assets, were the only sectors to post positive
returns for the period ended July 31, 2007. Consumer discretionary and utility
stocks had the most negative impact on the Fund's total return relative to its
benchmark.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were Cummins, Inc., National Oilwell Varco, Inc. and
Amazon.com, Inc. The worst-performing stocks, by percentage loss, were MGIC
Investment Corp., American Standard Cos., Inc. and KB Home.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Consumer Discretionary 16.32%
Financials 14.54
Industrials 14.27
Information Technology 14.21
Energy 10.62
Utilities 9.20
Health Care 7.56
Materials 7.07
Consumer Staples 4.47
Telecommunication Services 2.09
Net Other Assets and Liabilities (0.35)
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
National Oilwell Varco, Inc. 0.54%
Amazon.com, Inc. 0.54
Precision Castparts Corp. 0.53
Tyco International Ltd. 0.52
Schlumberger Ltd. 0.52
NVIDIA Corp. 0.52
Apple, Inc. 0.51
Terex Corp. 0.50
Noble Corp. 0.49
Smith International, Inc. 0.49
----
Total 5.16%
====
----------
|
The Defined Large Cap Core Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Large Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The
McGraw-Hill Companies, Inc. and have been licensed for use by First Trust
Portfolios L.P. The First Trust Large Cap Core AlphaDEX(TM) Fund is not
sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's
does not make any representation regarding the advisability of investing in the
Fund.
Page 22
Fund Performance Overview (Continued)
FEX - FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------
First Trust
Large Cap Core Defined Large S&P 500
AlphaDEX(TM) Fund Cap Core Index Index
-------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000
7/31/2007 $ 9,560 $ 9,579 $ 9,690
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 18 1 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 38 0 0 0
|
Page 23
Fund Performance Overview (Continued)
FNX - FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND
The First Trust Mid Cap Core AlphaDEX(TM) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Mid Cap Core Index (the "Mid
Cap Core Index"). The Fund will normally invest at least 90% of its total assets
in common stocks that comprise the Mid Cap Core Index. The Shares of the Fund
are listed and trade on the AMEX under the ticker symbol "FNX." The Fund began
trading on May 10, 2007.
The Mid Cap Core Index is a modified equal-dollar weighted index designed by S&P
to objectively identify and select stocks from the S&P MidCap 400 Index that may
generate positive alpha relative to traditional passive style indices through
the use of the AlphaDEX(TM) screening methodology. Alpha is an indication of how
much an investment outperforms or underperforms on a risk-adjusted basis
relative to its benchmark (S&P MidCap 400 Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -4.73%
Market Price -4.77%
INDEX PERFORMANCE
Defined Mid Cap Core Index -4.60%
S&P MidCap 400 Index -3.85%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Energy and industrials were the only sectors to have positive
performance over the period. An underweight position in financials, relative to
its benchmark also benefited the Fund as it was the worst-performing sector for
the period ended July 31, 2007. Consumer discretionary was the biggest detractor
from Fund performance, relative to its benchmark, due to an overweight position
in that sector.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were Intuitive Surgical, Inc., FMC Technologies, Inc.
and GameStop Corp., Class A. The worst-performing stocks, by percentage loss,
were Beazer Homes USA, Inc., Radian Group, Inc. and Kindred Healthcare, Inc.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Industrials 17.60%
Consumer Discretionary 17.11
Information Technology 15.15
Financials 10.08
Health Care 9.43
Utilities 9.19
Energy 8.79
Materials 7.29
Consumer Staples 3.80
Telecommunication Services 0.92
Net Other Assets and Liabilities 0.64
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
Intuitive Surgical, Inc. 0.72%
Modine Manufacturing Co. 0.67
WellCare Health Plans, Inc. 0.66
RF Micro Devices, Inc. 0.66
Cameron International Corp. 0.64
Ventana Medical Systems, Inc. 0.64
Cypress Semiconductor Corp. 0.63
Jacobs Engineering Group, Inc. 0.63
SPX Corp. 0.63
GameStop Corp., Class A 0.61
----
Total 6.49%
====
----------
|
The Defined Mid Cap Core Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Mid Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The McGraw-Hill
Companies, Inc. and have been licensed for use by First Trust Portfolios L.P.
The First Trust Mid Cap Core AlphaDEX(TM) Fund is not sponsored, endorsed, sold
or promoted by Standard & Poor's and Standard & Poor's does not make any
representation regarding the advisability of investing in the Fund.
Page 24
Fund Performance Overview (Continued)
FNX - FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------
First Trust Defined
Mid Cap Core Mid Cap Core S&P Mid Cap
AlphaDEX(TM) Fund Index 400 Index
-------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000
7/31/2007 $ 9,527 $ 9,540 $ 9,615
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 22 1 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 34 0 0 0
|
Page 25
Fund Performance Overview (Continued)
FYX - FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND
The First Trust Small Cap Core AlphaDEX(TM) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Small Cap Core Index (the
"Small Cap Core Index"). The Fund will normally invest at least 90% of its total
assets in common stocks that comprise the Small Cap Core Index. The Shares of
the Fund are listed and trade on the AMEX under the ticker symbol "FYX." The
Fund began trading on May 10, 2007.
The Small Cap Core Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P SmallCap 600 Index
that may generate positive alpha relative to traditional passive style indices
through the use of the AlphaDEX(TM) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark (S&P SmallCap 600 Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -5.67%
Market Price -5.77%
INDEX PERFORMANCE
Defined Small Cap Core Index -5.46%
S&P SmallCap 600 Index -4.65%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Telecommunication services and energy were the only two sectors to
have positive returns over the period ended July 31, 2007. An underweight
position in financials, relative to its benchmark, also benefited the Fund as it
was the worst-performing sector for the period ended July 31, 2007. Consumer
discretionary and industrials were the biggest detractors from Fund performance,
relative to its benchmark, due to underperformance of the Fund's holdings in
those sectors.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were Crocs, Inc., Penford Corp. and Blue Nile, Inc.
The worst-performing stocks, by percentage loss, were Standard Motor Products,
Inc., Finish Line (The), Inc., Class A and Advanced Energy Industries, Inc.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Industrials 20.28%
Information Technology 19.07
Consumer Discretionary 18.59
Financials 10.55
Health Care 9.69
Materials 7.71
Utilities 5.56
Energy 4.91
Consumer Staples 2.89
Telecommunication Services 0.32
Net Other Assets and Liabilities 0.43
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
Crocs, Inc. 0.55%
Penford Corp. 0.52
Option Care, Inc. 0.50
Blue Nile, Inc. 0.50
Chaparral Steel Co. 0.46
Triumph Group, Inc. 0.46
Keystone Automotive Industries, Inc. 0.45
Woodward Governor Co. 0.43
Hutchinson Technology, Inc. 0.42
Oceaneering International, Inc. 0.42
----
Total 4.71%
====
----------
|
The Defined Small Cap Core Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Small Cap Core Index. STANDARD & POOR'S and S&P are trademarks of The
McGraw-Hill Companies, Inc. and have been licensed for use by First Trust
Portfolios L.P. The First Trust Small Cap Core AlphaDEX(TM) Fund is not
sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's
does not make any representation regarding the advisability of investing in the
Fund.
Page 26
Fund Performance Overview (Continued)
FYX - FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
--------------------------------------------------------------------------------
First Trust Small Defined Small S&P SmallCap
Cap Core Cap Core 600
AlphaDEX(TM) Fund Index Index
--------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000
7/31/2007 $ 9,433 $ 9,454 $ 9,535
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 24 0 1 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 32 0 0 0
|
Page 27
Fund Performance Overview (Continued)
FTA - FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND
The First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the Defined
Large Cap Value Opportunities Index (the "Large Cap Value Index"). The Fund will
normally invest at least 90% of its total assets in common stocks that comprise
the Large Cap Value Index. The Shares of the Fund are listed and trade on the
AMEX under the ticker symbol "FTA." The Fund began trading on May 10, 2007.
The Large Cap Value Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P 500/Citigroup Value
Index that may generate positive alpha relative to traditional passive style
indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark (S&P 500/Citigroup Value Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -5.50%
Market Price -5.30%
INDEX PERFORMANCE
S&P 500 Index -3.10%
Defined Large Cap Value Opportunities Index -5.38%
S&P 500/Citigroup Value Index -4.14%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Energy and industrials were the two best-performing sectors over the
period ended July 31, 2007 and biggest contributors to the Fund's return. A
significantly underweight position in financials benefited the Fund as it was
the worst-performing sector over the period ended July 31, 2007. Consumer
discretionary was the biggest detractor to performance due to an overweight
position and underperformance relative to its benchmark. An overweight position
in utilities also hurt Fund performance.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were Cummins, Inc., Freeport-McMoRan Copper & Gold,
Inc. and VeriSign, Inc. The worst-performing stocks, by percentage loss, were
MGIC Investment Corp., KB Home and CIT Group, Inc.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Financials 17.91%
Consumer Discretionary 16.39
Utilities 14.28
Industrials 13.00
Information Technology 9.90
Materials 8.59
Energy 8.39
Consumer Staples 5.45
Telecommunication Services 3.67
Health Care 2.45
Net Other Assets and Liabilities (0.03)
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
Tyco International Ltd. 1.01%
Hess Corp. 0.94
ConocoPhillips 0.93
Rowan Cos., Inc. 0.93
ADC Telecommunications, Inc. 0.92
Archer-Daniels-Midland Co. 0.92
Chevron Corp. 0.91
Ryder System, Inc. 0.91
Parker Hannifin Corp. 0.91
Novellus Systems, Inc. 0.91
----
Total 9.29%
====
----------
|
The Defined Large Cap Value Opportunities Index is the exclusive property of
S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and
maintain the Defined Large Cap Value Opportunities Index. STANDARD & POOR'S and
S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for
use by First Trust Portfolios L.P. The First Trust Large Cap Value Opportunities
AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by Standard &
Poor's and Standard & Poor's does not make any representation regarding the
advisability of investing in the Fund.
Page 28
Fund Performance Overview (Continued)
FTA - FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------------------------------------------
First Trust Large Cap Defined Large Cap
Value Opportunities Value Opportunities S&P 500 S&P 500/Citigroup
AlphaDEX(TM) Fund Index Index Value Index
-------------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000
7/31/2007 $ 9,450 $ 9,462 $ 9,690 $ 9,586
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 40 0 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 17 0 0 0
|
Page 29
Fund Performance Overview (Continued)
FTC - FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND
The First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the Defined
Large Cap Growth Opportunities Index (the "Large Cap Growth Index"). The Fund
will normally invest at least 90% of its total assets in common stocks that
comprise the Large Cap Growth Index. The Shares of the Fund are listed and trade
on the AMEX under the ticker symbol "FTC." The Fund began trading on May 10,
2007.
The Large Cap Growth Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P 500/Citigroup Growth
Index that may generate positive alpha relative to traditional passive style
indices through the use of the AlphaDEX(TM) screening methodology. Alpha is an
indication of how much an investment outperforms or underperforms on a
risk-adjusted basis relative to its benchmark (S&P 500/Citigroup Growth Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -2.60%
Market Price -2.43%
INDEX PERFORMANCE
S&P 500 Index -3.10%
Defined Large Cap Growth Opportunities Index -2.43%
S&P 500/Citigroup Growth Index -1.98%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Energy was the best-performing sector in the Fund and had the
largest contribution to return. The Fund also benefited from an underweight
position in the health care sector, the second worst-performing sector over the
period ended July 31, 2007. Information technology was the biggest detractor
from performance, relative to its benchmark, due to an underweight position in
the sector.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were National Oilwell Varco, Inc., Amazon.com, Inc.
and Hilton Hotels Corp. The worst-performing stocks, by percentage loss, were
American Standard Cos., Inc., Big Lots, Inc. and Sunoco, Inc.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Information Technology 20.14%
Consumer Discretionary 16.18
Industrials 15.67
Health Care 14.16
Energy 13.28
Financials 10.29
Materials 4.73
Utilities 2.94
Consumer Staples 2.64
Net Other Assets and Liabilities (0.03)
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
National Oilwell Varco, Inc. 1.14%
Amazon.com, Inc. 1.14
Precision Castparts Corp. 1.12
Schlumberger Ltd. 1.10
NVIDIA Corp. 1.10
Apple, Inc. 1.07
Terex Corp. 1.05
Noble Corp. 1.04
Smith International, Inc. 1.04
Fluor Corp. 1.03
-----
Total 10.83%
=====
----------
|
The Defined Large Cap Growth Opportunities Index is the exclusive property of
S&P. First Trust Portfolios L.P. has contracted with S&P to calculate and
maintain the Defined Large Cap Growth Opportunities Index. STANDARD & POOR'S and
S&P are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for
use by First Trust Portfolios L.P. The First Trust Large Cap Growth
Opportunities AlphaDEX(TM) Fund is not sponsored, endorsed, sold or promoted by
Standard & Poor's and Standard & Poor's does not make any representation
regarding the advisability of investing in the Fund.
Page 30
Fund Performance Overview (Continued)
FTC - FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------------------------------------------
First Trust Large Cap Defined Large Cap
Growth Opportunities Growth Opportunities S&P 500 S&P 500/Citigroup
AlphaDEX(TM) Fund Index Index Growth Index
-------------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000
7/31/2007 $ 9,740 $ 9,757 $ 9,690 $ 9,802
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 37 1 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 19 0 0 0
|
Page 31
Fund Performance Overview (Continued)
FAB - FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND
The First Trust Multi Cap Value AlphaDEX(TM) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Multi Cap Value Index (the
"Multi Cap Value Index"). The Fund will normally invest at least 90% of its
total assets in common stocks that comprise the Multi Cap Value Index. The
Shares of the Fund are listed and trade on the AMEX under the ticker symbol
"FAB." The Fund began trading on May 10, 2007.
The Multi Cap Value Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P Composite
1500/Citigroup Value Index that may generate positive alpha relative to
traditional passive style indices through the use of the AlphaDEX(TM) screening
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark (S&P Composite
1500/Citigroup Value Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -6.83%
Market Price -6.50%
INDEX PERFORMANCE
S&P Composite 1500 Index -3.22%
Defined Multi Cap Value Index -6.66%
S&P Composite 1500/Citigroup Value Index -4.33%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Energy was the best-performing sector over the period ended July 31,
2007, followed by telecommunication services. A significantly underweight
position in financials also benefited the Fund as it was the worst-performing
sector over the period ended July 31, 2007. Consumer discretionary was the
biggest detractor from Fund performance over the period ended July 31, 2007 due
to an overweight position and underperformance of the Fund's holdings in that
sector.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were Cummins, Inc., Penford Corp. and
Freeport-McMoRan Copper & Gold, Inc. The worst-performing stocks, by percentage
loss, were Beazer Homes USA, Inc., MGIC Investment Corp. and Radian Group, Inc.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Financials 16.78%
Consumer Discretionary 16.17
Utilities 14.43
Industrials 14.22
Information Technology 11.88
Materials 9.41
Energy 7.21
Consumer Staples 4.90
Health Care 2.91
Telecommunication Services 2.25
Net Other Assets and Liabilities (0.16)
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
Tyco International Ltd. 0.51%
Hess Corp. 0.48
Rowan Cos., Inc. 0.47
ConocoPhillips 0.47
ADC Telecommunications, Inc. 0.47
Archer-Daniels Midland Co. 0.47
Chevron Corp. 0.46
Ryder System, Inc. 0.46
Parker Hannifin Corp. 0.46
Novellus System, Inc. 0.46
----
Total 4.71%
====
----------
|
The Defined Multi Cap Value Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Multi Cap Value Index. STANDARD & POOR'S and S&P are trademarks of The
McGraw-Hill Companies, Inc. and have been licensed for use by First Trust
Portfolios L.P. The First Trust Multi Cap Value AlphaDEX(TM) Fund is not
sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's
does not make any representation regarding the advisability of investing in the
Fund.
Page 32
Fund Performance Overview (Continued)
FAB - FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
------------------------------------------------------------------------------------------------------------
First Trust Defined Multi
Multi Cap Value Cap Value S&P Composite S&P Composite 1500/Citigroup
AlphaDEX(TM) Fund Index 1500 Index Value Index
------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000
7/31/2007 $ 9,317 $ 9,334 $ 9,678 $ 9,567
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 39 0 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 18 0 0 0
|
Page 33
Fund Performance Overview (Continued)
FAD - FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND
The First Trust Multi Cap Growth AlphaDEX(TM) Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Defined Multi Cap Growth Index (the
"Multi Cap Growth Index"). The Fund will normally invest at least 90% of its
total assets in common stocks that comprise the Multi Cap Growth Index. The
Shares of the Fund are listed and trade on the AMEX under the ticker symbol
"FAD." The Fund began trading on May 10, 2007.
The Multi Cap Growth Index is a modified equal-dollar weighted index designed by
S&P to objectively identify and select stocks from the S&P Composite
1500/Citigroup Growth Index that may generate positive alpha relative to
traditional passive style indices through the use of the AlphaDEX(TM) screening
methodology. Alpha is an indication of how much an investment outperforms or
underperforms on a risk-adjusted basis relative to its benchmark (S&P Composite
1500/Citigroup Growth Index).
--------------------------------------------------------------------------------
Performance as of July 31, 2007
Since Fund Inception
(May 8, 2007)
FUND PERFORMANCE
NAV -2.03%
Market Price -1.90%
INDEX PERFORMANCE
S&P Composite 1500 Index -3.22%
Defined Multi Cap Growth Index -1.82%
S&P Composite 1500/Citigroup Growth Index -2.04%
--------------------------------------------------------------------------------
|
(See Notes to Fund Performance Overview on page 36.)
FUND RECAP. Energy was the best-performing sector in the Fund over the period
ended July 31, 2007, followed by industrials. Health care was the biggest
contributor to performance, relative to its benchmark, due to the outperformance
of the Fund's holdings in the sector versus its benchmark. The consumer
discretionary sector had the worst contribution to return due to an overweight
position in that sector. An underweight position in information technology also
held back Fund performance as it was the third best-performing sector over the
period ended July 31, 2007.
The top three performing stocks in the Fund over the period ended July 31, 2007,
by contribution to return, were National Oilwell Varco, Inc., Intuitive
Surgical, Inc. and Crocs, Inc. The worst-performing stocks, by percentage loss,
were American Standard Cos., Inc., Big Lots, Inc. and Sunoco, Inc.
PORTFOLIO SECTOR ALLOCATION AS OF JULY 31, 2007
SECTOR % OF NET ASSETS
Information Technology 20.28%
Industrials 18.95
Consumer Discretionary 17.89
Health Care 15.15
Energy 11.27
Financials 7.17
Materials 4.41
Consumer Staples 2.52
Utilities 1.54
Telecommunication Services 0.26
Net Other Assets and Liabilities 0.56
------
Total 100.00%
======
|
TOP TEN PORTFOLIO HOLDINGS AS OF JULY 31, 2007
SECURITY % OF NET ASSETS
National Oilwell Varco, Inc. 0.57%
Amazon.com, Inc. 0.57
Precision Castparts Corp. 0.56
Schlumberger Ltd. 0.55
NVIDIA Corp. 0.55
Apple, Inc. 0.54
Terex Corp. 0.53
Noble Corp. 0.52
Smith International, Inc. 0.52
Fluor Corp. 0.51
----
Total 5.42%
====
----------
|
The Defined Multi Cap Growth Index is the exclusive property of S&P. First Trust
Portfolios L.P. has contracted with S&P to calculate and maintain the Defined
Multi Cap Growth Index. STANDARD & POOR'S and S&P are trademarks of The
McGraw-Hill Companies, Inc. and have been licensed for use by First Trust
Portfolios L.P. The First Trust Multi Cap Growth AlphaDEX(TM) Fund is not
sponsored, endorsed, sold or promoted by Standard & Poor's and Standard & Poor's
does not make any representation regarding the advisability of investing in the
Fund.
Page 34
Fund Performance Overview (Continued)
FAD - FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND (CONTINUED)
Growth of a $10,000 Initial Investment
May 8, 2007 - July 31, 2007
[GRAPHIC OMITTED]
EDGARIZATION OF DATA POINTS
-------------------------------------------------------------------------------------------------------------------
First Trust Multi Defined Multi Cap S&P S&P Composite
Cap Growth Growth Composite 1500/Citigroup
AlphaDEX(TM) Fund Index 1500 Index Growth Index
-------------------------------------------------------------------------------------------------------------------
5/8/2007 $10,000 $10,000 $10,000 $10,000
7/31/2007 $ 9,797 $ 9,818 $ 9,678 $ 9,796
|
Performance figures assume reinvestment of all dividend distributions and do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. An index is a
statistical composite that tracks a specified financial market or sector. Unlike
the Fund, the indices do not actually hold a portfolio of securities and
therefore do not incur the expenses incurred by the Fund. These expenses
negatively impact the performance of the Fund. The Fund's past performance is no
guarantee of future results.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
BID/ASK MIDPOINT VS. NAV AS OF JULY 31, 2007
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period May 10, 2007 (commencement of
trading) through July 31, 2007.
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 29 1 0 0
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
FOR THE PERIOD 0-49 BASIS POINTS 50-99 BASIS POINTS 100-199 BASIS POINTS >= 200 BASIS POINTS
5/10/07 - 7/31/07 27 0 0 0
|
Page 35
Notes to Fund Performance Overview
Total returns for the periods since inception are calculated from the inception
date of each Fund. The total returns would have been lower if certain fees had
not been waived and expenses reimbursed by the Advisor.
The Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is calculated. Since shares of the Fund did not trade in the
secondary market until after the Fund's inception, for the period from inception
to the first day of secondary market trading in shares of the Fund, the NAV of
the Fund is used as a proxy for the secondary market trading price to calculate
market returns. NAV and market returns assume that all dividend distributions
have been reinvested in the Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike the Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by the Fund. These
expenses negatively impact the performance of the Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of the
Fund will vary with changes in market conditions. Shares of the Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. The Fund's past performance is no guarantee of future results.
Page 36
First Trust Exchange-Traded AlphaDEX(TM) Fund
Understanding Your Fund Expenses
July 31, 2007 (Unaudited)
As a shareholder of First Trust Consumer Discretionary AlphaDEX(TM) Fund, First
Trust Consumer Staples AlphaDEX(TM) Fund, First Trust Energy AlphaDEX(TM) Fund,
First Trust Financials AlphaDEX(TM) Fund, First Trust Health Care AlphaDEX(TM)
Fund, First Trust Industrials/Producer Durables AlphaDEX(TM) Fund, First Trust
Materials AlphaDEX(TM) Fund, First Trust Technology AlphaDEX(TM) Fund, First
Trust Utilities AlphaDEX(TM) Fund, First Trust Large Cap Core AlphaDEX(TM) Fund,
First Trust Mid Cap Core AlphaDEX(TM) Fund, First Trust Small Cap Core
AlphaDEX(TM) Fund, First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund,
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund, First Trust Multi
Cap Value AlphaDEX(TM) Fund, or First Trust Multi Cap Growth AlphaDEX(TM) Fund
(collectively, the "Funds"), you incur two types of costs: (1) transaction
costs; and (2) ongoing costs, including management fees, distribution and/or
service fees, and other Fund expenses. This Example is intended to help you
understand your ongoing costs (in dollars) of investing in the Funds and to
compare these costs with the ongoing costs of investing in other mutual funds.
The Hypothetical Example is based on an investment of $1,000 invested for the
most recent fiscal half-year ended July 31, 2007. The Actual Example is based on
an investment of $1,000 invested for the period since inception through July 31,
2007.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Period"
to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on the Funds' actual expense
ratios and an assumed rate of return of 5% per year before expenses, which are
not the Funds' actual returns. The hypothetical account values and expenses may
not be used to estimate the actual ending account balance or expenses you paid
for the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions paid on purchases and sales of Fund shares. Therefore, the second
line in the table is useful in comparing ongoing costs only, and will not help
you determine the relative total costs of owning different funds. In addition,
if these transactional costs were included, your costs would have been higher.
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE PERIOD
ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS MAY 8, 2007 (A) TO
MAY 8, 2007 (A) JULY 31, 2007 IN THE PERIOD (B) JULY 31, 2007 (C)
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND
Actual $1,000.00 $941.50 0.70% $1.58
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND
Actual $1,000.00 $955.50 0.70% $1.59
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST ENERGY ALPHADEX(TM) FUND
Actual $1,000.00 $1,037.00 0.70% $1.66
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST FINANCIALS ALPHADEX(TM) FUND
Actual $1,000.00 $895.50 0.70% $1.54
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND
Actual $1,000.00 $974.00 0.70% $1.61
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
Page 37
|
First Trust Exchange-Traded AlphaDEX(TM) Fund
Understanding Your Fund Expenses (Continued)
July 31, 2007 (Unaudited)
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE PERIOD
ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS MAY 8, 2007 (A) TO
MAY 8, 2007 (A) JULY 31, 2007 IN THE PERIOD (B) JULY 31, 2007 (C)
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES ALPHADEX(TM) FUND
Actual $1,000.00 $943.50 0.70% $1.58
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST MATERIALS ALPHADEX(TM) FUND
Actual $1,000.00 $1,008.50 0.70% $1.64
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND
Actual $1,000.00 $1,023.50 0.70% $1.65
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST UTILITIES ALPHADEX(TM) FUND
Actual $1,000.00 $918.50 0.70% $1.56
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND
Actual $1,000.00 $956.00 0.70% $1.59
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND
Actual $1,000.00 $952.70 0.70% $1.59
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND
Actual $1,000.00 $943.30 0.70% $1.58
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST LARGE CAP VALUE OPPORTUNITIES ALPHADEX(TM) FUND
Actual $1,000.00 $945.00 0.70% $1.59
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES ALPHADEX(TM) FUND
Actual $1,000.00 $974.00 0.70% $1.61
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND
Actual $1,000.00 $931.70 0.70% $1.57
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND
Actual $1,000.00 $979.70 0.70% $1.61
Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% $3.51
|
(a) Inception date.
(b) These expense ratios reflect expense caps.
(c) Actual expenses are equal to the annualized expense ratio of 0.70%,
multiplied by the average account value over the period, multiplied by 85/365
(to reflect the actual period May 8, 2007 to July 31, 2007). Hypothetical
expenses are assumed for the most recent fiscal half-year.
Page 38
First Trust Consumer Discretionary AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007 (Unaudited)
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCK--101.3%
CHEMICALS--0.5%
189 International Flavors & Fragrances,
Inc. $ 9,471
-------------
COMMERCIAL SERVICES & SUPPLIES--6.6%
1,098 Allied Waste Industries, Inc. (a) 14,131
77 Brink's (The) Co. 4,709
375 Cintas Corp. 13,710
322 Copart, Inc. (a) 9,061
781 Corrections Corp. of America (a) 22,533
267 Manpower, Inc. 21,106
340 R.R. Donnelley & Sons Co. 14,368
322 Republic Services, Inc. 10,288
378 Waste Management, Inc. 14,375
-------------
124,281
-------------
DIVERSIFIED CONSUMER SERVICES--3.7%
253 Apollo Group, Inc., Class A (a) 14,955
292 Career Education Corp. (a) 8,667
210 ITT Educational Services, Inc. (a) 22,188
320 Laureate Education, Inc. (a) 19,731
94 Weight Watchers International, Inc. 4,561
-------------
70,102
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--1.8%
290 CDW Corp. (a) 24,410
278 Dolby Laboratories, Inc., Class A (a) 9,246
-------------
33,656
-------------
FOOD & STAPLES RETAILING--2.0%
273 BJ's Wholesale Club, Inc. (a) 9,271
253 Costco Wholesale Corp. 15,129
307 Wal-Mart Stores, Inc. 14,107
-------------
38,507
-------------
HOTELS, RESTAURANTS & LEISURE--9.1%
935 Burger King Holdings, Inc. 22,711
404 Carnival Corp. 17,901
108 Darden Restaurants, Inc. 4,598
116 Harrah's Entertainment, Inc. 9,824
142 Hilton Hotels Corp. 6,278
90 International Speedway Corp., Class A 4,310
291 McDonald's Corp. 13,930
239 MGM MIRAGE, Inc. (a) 17,473
89 Orient-Express Hotels Ltd., Class A 4,134
410 Penn National Gaming, Inc. (a) 23,576
459 Royal Caribbean Cruises Ltd. 17,685
136 Scientific Games Corp., Class A (a) 4,666
55 Station Casinos, Inc. 4,759
272 Wyndham Worldwide Corp. (a) 9,153
301 Yum! Brands, Inc. 9,644
-------------
170,642
-------------
HOUSEHOLD DURABLES--7.5%
112 Black & Decker (The) Corp. $ 9,696
169 Harman International Industries, Inc. 19,604
573 Jarden Corp. (a) 20,702
1,117 Leggett & Platt, Inc. 23,156
244 Mohawk Industries, Inc. (a) 21,962
94 Snap-on, Inc. 4,919
325 Stanley Works (The) 17,982
222 Whirlpool Corp. 22,669
-------------
140,690
-------------
HOUSEHOLD PRODUCTS--0.5%
147 Kimberly-Clark Corp. 9,889
-------------
INTERNET & CATALOG RETAIL--3.8%
360 Amazon.com, Inc. (a) 28,274
162 Expedia, Inc. (a) 4,311
137 IAC/InterActiveCorp. (a) 3,937
1,103 Liberty Media Corp. - Interactive,
Class A (a) 23,108
212 NutriSystem, Inc. (a) 11,813
-------------
71,443
-------------
INTERNET SOFTWARE & SERVICES--2.6%
386 aQuantive, Inc. (a) 25,533
28 Google, Inc., Class A (a) 14,280
311 VeriSign, Inc. (a) 9,234
-------------
49,047
-------------
IT SERVICES--2.6%
459 Accenture Ltd., Class A 19,337
813 Convergys Corp. (a) 15,488
462 Hewitt Associates, Inc., Class A (a) 13,823
-------------
48,648
-------------
LEISURE EQUIPMENT & PRODUCTS
--2.1%
627 Hasbro, Inc. 17,569
584 Mattel, Inc. 13,379
252 Pool Corp. 8,470
-------------
39,418
-------------
MACHINERY--0.7%
251 Toro (The) Co. 14,111
-------------
MEDIA--19.1%
444 CBS Corp., Class B 14,084
202 Central European Media Enterprises
Ltd., Class A (a) 18,681
126 Clear Channel Communications, Inc. 4,649
168 Clear Channel Outdoor Holdings,
Inc., Class A (a) 4,612
545 CTC Media, Inc. (a) 13,314
206 DIRECTV Group (The), Inc. (a) 4,616
643 Discovery Holding Co., Class A (a) 15,252
216 E.W. Scripps (The) Co., Class A 8,850
|
See Notes to Financial Statements Page 39
First Trust Consumer Discretionary AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
341 EchoStar Communications Corp.,
Class A (a) $ 14,421
448 Gannett Co., Inc. 22,355
309 Getty Images, Inc. (a) 13,883
384 Harte-Hanks, Inc. 9,043
409 Hearst-Argyle Television, Inc. 8,589
558 Idearc, Inc. 19,368
408 John Wiley & Sons, Inc., Class A 17,254
600 Liberty Global, Inc., Class A (a) 25,159
973 McClatchy (The) Co., Class A 23,761
70 McGraw-Hill (The) Cos., Inc. 4,235
160 Meredith Corp. 9,038
465 News Corp., Class A 9,821
90 Omnicom Group, Inc. 4,668
449 Regal Entertainment Group, Class A 9,604
937 Time Warner, Inc. 18,047
670 Tribune Co. 18,733
114 Viacom, Inc., Class B (a) 4,366
606 Virgin Media, Inc. 15,053
577 Walt Disney (The) Co. 19,041
13 Washington Post (The) Co., Class B 10,280
-------------
360,777
-------------
MULTILINE RETAIL--8.5%
670 Big Lots, Inc. (a) 17,326
686 Dillard's, Inc., Class A 20,505
566 Dollar Tree Stores, Inc. (a) 21,654
718 Family Dollar Stores, Inc. 21,267
67 Kohl's Corp. (a) 4,074
495 Macy's, Inc. 17,855
193 Nordstrom, Inc. 9,183
692 Saks, Inc. (a) 12,809
116 Sears Holdings Corp. (a) 15,868
310 Target Corp. 18,777
-------------
159,318
-------------
PERSONAL PRODUCTS--1.3%
623 Alberto-Culver Co. 14,653
129 Avon Products, Inc. 4,645
105 Estee Lauder (The) Cos., Inc., Class A 4,727
-------------
24,025
-------------
ROAD & RAIL--1.2%
693 Avis Budget Group, Inc. (a) 17,789
179 Hertz Global Holdings, Inc. (a) 4,008
-------------
21,797
-------------
SPECIALTY RETAIL--19.1%
135 Abercrombie & Fitch Co., Class A 9,437
365 Advance Auto Parts, Inc. 12,691
695 AnnTaylor Stores Corp. (a) 21,837
878 AutoNation, Inc. (a) 17,103
108 Autozone, Inc. (a) 13,695
SPECIALTY RETAIL (CONTINUED)
512 Barnes & Noble, Inc. $ 17,178
580 CarMax, Inc. (a) 13,879
195 Chico's FAS, Inc. (a) 3,775
315 Circuit City Stores, Inc. 3,749
205 Coldwater Creek, Inc. (a) 4,036
339 Dick's Sporting Goods, Inc. (a) 19,062
1,130 Foot Locker, Inc. 20,973
630 GameStop Corp., Class A (a) 25,421
774 Gap (The), Inc. 13,313
513 Guess?, Inc. 24,362
501 Home Depot (The), Inc. 18,622
173 Limited Brands, Inc. 4,178
501 OfficeMax, Inc. 16,473
404 O'Reilly Automotive, Inc. (a) 13,457
694 Penske Automotive Group, Inc. 13,519
304 PetSmart, Inc. 9,828
743 RadioShack Corp. 18,672
154 Ross Stores, Inc. 4,455
464 Tiffany & Co. 22,388
173 TJX (The) Cos., Inc. 4,801
189 Tractor Supply Co. (a) 8,981
198 Urban Outfitters, Inc. (a) 3,972
-------------
359,857
-------------
TEXTILES, APPAREL & LUXURY
GOODS--6.9%
208 Coach, Inc. (a) 9,456
573 Crocs, Inc. (a) 33,990
660 Liz Claiborne, Inc. 23,192
254 NIKE, Inc., Class B 14,338
325 Phillips-Van Heusen Corp. 16,920
251 Polo Ralph Lauren Corp. 22,427
108 VF Corp. 9,265
-------------
129,588
-------------
TRADING COMPANIES & DISTRIBUTORS
--1.7%
235 Fastenal Co. 10,591
358 MSC Industrial Direct Co., Inc.,
Class A 18,005
79 WESCO International, Inc. (a) 4,230
-------------
32,826
-------------
TOTAL INVESTMENTS--101.3%
(Cost $2,023,036) 1,908,093
NET OTHER ASSETS AND
LIABILITIES--(1.3%) (25,267)
-------------
NET ASSETS--100.0% $ 1,882,826
=============
|
(a) Non-income producing security.
Page 40 See Notes to Financial Statements
First Trust Consumer Staples AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS--100.8%
BEVERAGES--25.2%
552 Anheuser-Busch Cos., Inc. $ 26,921
394 Brown-Forman Corp., Class B 26,177
551 Coca-Cola (The) Co. 28,713
5,537 Constellation Brands, Inc., Class A (a) 121,426
2,011 Hansen Natural Corp. (a) 81,546
1,818 Molson Coors Brewing Co., Class B 161,693
2,566 Pepsi Bottling Group (The), Inc. 85,858
6,842 PepsiAmericas, Inc. 189,319
-------------
721,653
-------------
FOOD & STAPLES RETAILING--20.1%
4,779 Kroger (The) Co. 124,063
26,340 Rite Aid Corp. (a) 145,133
4,938 Safeway, Inc. 157,374
3,628 SUPERVALU, Inc. 151,179
-------------
577,749
-------------
FOOD PRODUCTS--34.0%
1,732 Campbell Soup Co. 63,790
1,073 ConAgra Foods, Inc. 27,201
5,273 Dean Foods Co. (a) 151,703
11,056 Del Monte Foods Co. 128,249
1,151 General Mills, Inc. 64,019
3,599 Hormel Foods Corp. 123,878
1,056 J.M. Smucker (The) Co. 58,935
2,452 Kraft Foods, Inc., Class A 80,303
755 McCormick & Co., Inc. 25,791
1,656 Sara Lee Corp. 26,248
4,366 Smithfield Foods, Inc. (a) 135,607
1,563 Wm. Wrigley Jr. Co. 90,154
-------------
975,878
-------------
HOUSEHOLD PRODUCTS--7.1%
1,783 Church & Dwight Co., Inc. 87,475
464 Clorox (The) Co. 28,053
1,412 Procter & Gamble (The) Co. 87,346
-------------
202,874
-------------
PERSONAL PRODUCTS--2.4%
1,556 NBTY, Inc. (a) 67,748
-------------
TOBACCO--12.0%
958 Altria Group, Inc. $ 63,678
1,740 Loews Corp. - Carolina Group 131,875
1,326 Reynolds American, Inc. 81,111
1,252 UST, Inc. 67,045
-------------
343,709
-------------
TOTAL INVESTMENTS--100.8%
(Cost $3,048,199) 2,889,611
NET OTHER ASSETS AND
LIABILITIES--(0.8%) (23,125)
-------------
|
NET ASSETS--100.0% $ 2,866,486
(a) Non-income producing security.
See Notes to Financial Statements Page 41
First Trust Energy AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS--100.5%
ENERGY EQUIPMENT & SERVICES--39.1%
361 Baker Hughes, Inc. $ 28,537
1,272 Cameron International Corp. (a) 99,216
297 Diamond Offshore Drilling, Inc. 30,644
3,350 Dresser-Rand Group, Inc. (a) 124,285
1,491 ENSCO International, Inc. 91,055
382 FMC Technologies, Inc. (a) 34,961
6,167 Global Industries Ltd. (a) 159,726
421 GlobalSantaFe Corp. 30,190
563 Grant Prideco, Inc. (a) 31,584
4,670 Helmerich & Payne, Inc. 151,168
3,963 Nabors Industries Ltd. (a) 115,878
1,270 National Oilwell Varco, Inc. (a) 152,540
678 Noble Corp. 69,468
1,256 Oceaneering International, Inc. (a) 70,537
6,312 Patterson-UTI Energy, Inc. 144,545
1,767 Pride International, Inc. (a) 61,933
1,613 Rowan Cos., Inc. 68,052
779 Schlumberger Ltd. 73,787
1,417 SEACOR Holdings, Inc. (a) 123,591
1,552 Smith International, Inc. 95,308
759 Superior Energy Services, Inc. (a) 30,603
623 Transocean, Inc. (a) 66,941
2,628 Unit Corp. (a) 144,698
548 Weatherford International Ltd. (a) 30,321
-------------
2,029,568
-------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS--2.4%
3,184 NRG Energy, Inc. (a) 122,743
-------------
OIL, GAS & CONSUMABLE FUELS--59.0%
1,749 Anadarko Petroleum Corp. 88,027
1,622 Apache Corp. 131,122
3,823 Chesapeake Energy Corp. 130,135
1,571 Chevron Corp. 133,943
4,198 Cimarex Energy Co. 158,894
2,108 ConocoPhillips 170,411
10,336 Continental Resources, Inc. (a) 162,585
809 Denbury Resources, Inc. (a) 32,360
1,161 Devon Energy Corp. 86,622
905 EOG Resources, Inc. 63,441
789 Exxon Mobil Corp. 67,168
2,154 Forest Oil Corp. (a) 87,172
2,079 Frontier Oil Corp. 80,520
2,280 Helix Energy Solutions Group, Inc. (a) 88,806
1,542 Hess Corp. 94,370
2,230 Holly Corp. 150,280
2,206 Marathon Oil Corp. 121,771
511 Murphy Oil Corp. 31,702
1,452 Newfield Exploration Co. (a) 69,769
487 Noble Energy, Inc. 29,775
2,286 Occidental Petroleum Corp. 129,662
623 Pioneer Natural Resources Co. 28,347
3,460 Plains Exploration & Production Co. (a) 149,507
2,606 Pogo Producing Co. 138,796
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
809 Range Resources Corp. $ 30,046
2,485 St. Mary Land & Exploration Co. 82,726
829 Sunoco, Inc. 55,311
1,592 Tesoro Corp. 79,282
2,240 Valero Energy Corp. 150,102
3,250 W&T Offshore, Inc. 76,115
2,862 Western Refining, Inc. 158,841
-------------
3,057,608
-------------
TOTAL INVESTMENTS--100.5%
(Cost $5,463,172) 5,209,919
NET OTHER ASSETS AND
LIABILITIES--(0.5%) (25,432)
-------------
NET ASSETS--100.0% $ 5,184,487
=============
|
(a) Non-income producing security.
Page 42 See Notes to Financial Statements
First Trust Financials AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS--101.3%
CAPITAL MARKETS--14.7%
240 A.G. Edwards, Inc. $ 19,406
122 Affiliated Managers Group, Inc. (a) 13,786
381 Allied Capital Corp. 10,790
477 American Capital Strategies Ltd. 18,112
112 Bear Stearns (The) Cos., Inc. 13,577
25 BlackRock, Inc. 3,988
201 Charles Schwab (The) Corp. 4,046
178 E*TRADE Financial Corp. (a) 3,297
356 Eaton Vance Corp. 14,902
103 Federated Investors, Inc., Class B 3,709
89 Franklin Resources, Inc. 11,336
73 Goldman Sachs Group (The), Inc. 13,749
91 Investment Technology Group, Inc. (a) 3,636
565 Janus Capital Group, Inc. 16,984
146 Jefferies Group, Inc. 3,835
120 Legg Mason, Inc. 10,800
104 Lehman Brothers Holdings, Inc. 6,448
141 Merrill Lynch & Co., Inc. 10,462
188 Morgan Stanley 12,008
123 Northern Trust Corp. 7,683
253 Nuveen Investments, Inc. 15,468
127 Raymond James Financial, Inc. 3,895
135 SEI Investments Co. 3,680
115 State Street Corp. 7,708
227 T. Rowe Price Group, Inc. 11,834
1,014 TD Ameritrade Holding Corp. (a) 17,187
-------------
262,326
-------------
COMMERCIAL BANKS--13.5%
241 Associated Banc-Corp. 6,926
322 BancorpSouth, Inc. 7,519
193 BB&T Corp. 7,222
74 BOK Financial Corp. 3,701
52 City National Corp. 3,681
315 Colonial BancGroup (The), Inc. 6,870
132 Comerica, Inc. 6,951
213 Commerce Bancorp, Inc. 7,125
174 Commerce Bancshares, Inc. 7,734
74 Cullen/Frost Bankers, Inc. 3,676
101 East West Bancorp, Inc. 3,703
61 First Citizens BancShares, Inc., Class A 10,960
101 First Horizon National Corp. 3,204
546 Fulton Financial Corp. 7,218
519 Huntington Bancshares, Inc. 9,965
344 KeyCorp 11,933
74 M&T Bank Corp. 7,865
165 Marshall & Ilsley Corp. 6,800
472 National City Corp. 13,872
220 PNC Financial Services Group, Inc. 14,664
735 Popular, Inc. 9,695
238 Regions Financial Corp. 7,157
92 SunTrust Banks, Inc. 7,204
128 Synovus Financial Corp. 3,579
142 TCF Financial Corp. 3,492
COMMERCIAL BANKS (CONTINUED)
119 U.S. Bancorp $ 3,564
198 UnionBanCal Corp. 10,941
175 Valley National Bancorp 3,705
230 Wachovia Corp. 10,858
184 Webster Financial Corp. 7,997
224 Wells Fargo & Co. 7,564
261 Whitney Holding Corp. 6,522
102 Zions Bancorporation 7,604
-------------
241,471
-------------
COMMERCIAL SERVICES & SUPPLIES
--1.2%
115 Dun & Bradstreet (The) Corp. 11,243
266 Equifax, Inc. 10,762
-------------
22,005
-------------
CONSUMER FINANCE--2.6%
129 American Express Co. 7,552
593 AmeriCredit Corp. (a) 12,062
150 Capital One Financial Corp. 10,614
273 SLM Corp. (a) 13,423
19 Student Loan (The) Corp. 3,534
-------------
47,185
-------------
DIVERSIFIED FINANCIAL SERVICES
--3.9%
241 Bank of America Corp. 11,428
287 CIT Group, Inc. 11,819
153 Citigroup, Inc. 7,125
7 CME Group, Inc. 3,868
137 IntercontinentalExchange, Inc. (a) 20,704
244 JPMorgan Chase & Co. 10,738
132 Nasdaq Stock Market, Inc. (a) 4,062
-------------
69,744
-------------
HEALTH CARE PROVIDERS &
SERVICES--0.9%
301 CIGNA Corp. 15,544
-------------
INSURANCE--39.4%
324 ACE Ltd. 18,701
77 AFLAC, Inc. 4,013
39 Alleghany Corp. (a) 16,380
396 Allied World Assurance Holdings Ltd. 18,790
256 Allstate (The) Corp. 13,606
181 Ambac Financial Group, Inc. 12,154
461 American Financial Group, Inc. 12,949
169 American International Group, Inc. 10,846
52 American National Insurance Co. 7,776
92 Aon Corp. 3,684
279 Arch Capital Group Ltd. (a) 19,435
141 Arthur J. Gallagher & Co. 3,889
200 Assurant, Inc. 10,144
499 Axis Capital Holdings Ltd. 18,388
374 Chubb (The) Corp. 18,853
|
See Notes to Financial Statements Page 43
First Trust Financials AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
363 Cincinnati Financial Corp. $ 14,230
330 CNA Financial Corp. 13,702
753 Conseco, Inc. (a) 13,697
506 Endurance Specialty Holdings Ltd. 18,924
146 Erie Indemnity Co., Class A 7,539
187 Everest Re Group, Ltd. 18,373
855 Fidelity National Financial, Inc.,
Class A 17,861
318 First American Corp. 14,720
343 Genworth Financial, Inc., Class A 10,468
242 Hanover Insurance Group, Inc. 10,621
120 Hartford Financial Services Group
(The), Inc. 11,024
471 HCC Insurance Holdings, Inc. 13,791
111 Lincoln National Corp. 6,696
309 Loews Corp. 14,647
24 Markel Corp. (a) 11,172
255 Marsh & McLennan Cos., Inc. 7,025
253 MBIA, Inc. 14,193
286 Mercury General Corp. 14,809
122 MetLife, Inc. 7,347
124 Nationwide Financial Services,
Class A 7,057
740 Old Republic International Corp. 13,586
621 OneBeacon Insurance Group Ltd. 14,345
262 PartnerRe Ltd. 18,610
485 Philadelphia Consolidated Holding
Corp. (a) 17,528
68 Principal Financial Group, Inc. 3,835
658 Progressive (The) Corp. 13,805
247 Protective Life Corp. 10,626
121 Prudential Financial, Inc. 10,724
196 Reinsurance Group of America, Inc. 10,449
327 RenaissanceRe Holdings Ltd. 18,803
326 SAFECO Corp. 19,061
150 StanCorp Financial Group, Inc. 7,044
176 Torchmark Corp. 10,831
166 Transatlantic Holdings, Inc. 12,143
379 Travelers (The) Cos., Inc. 19,246
320 Unitrin, Inc. 13,562
301 Unum Group 7,314
26 White Mountains Insurance
Group Ltd. 14,287
623 W.R. Berkley Corp. 18,329
187 XL Capital Ltd., Class A 14,560
-------------
706,192
-------------
IT SERVICES--5.5%
262 Alliance Data Systems Corp. (a) 20,122
196 CheckFree Corp. (a) 7,221
99 DST Systems, Inc. (a) 7,511
373 Fidelity National Information
Services, Inc. 18,512
241 First Data Corp. 7,661
IT SERVICES (CONTINUED)
208 Fiserv, Inc. (a) $ 10,279
122 MasterCard, Inc., Class A 19,618
133 Total System Services, Inc. 3,741
189 Western Union Co. 3,771
-------------
98,436
-------------
MEDIA--1.1%
353 Dow Jones & Co., Inc. 20,255
-------------
REAL ESTATE INVESTMENT TRUSTS
--5.0%
273 Annaly Capital Management, Inc. 3,945
198 Boston Properties, Inc. 18,709
160 CapitalSource, Inc. 3,040
556 Colonial Properties Trust 19,233
95 Hospitality Properties Trust 3,644
1,135 HRPT Properties Trust 10,612
89 iStar Financial, Inc. 3,233
69 ProLogis 3,926
262 Rayonier, Inc. 11,093
451 Thornburg Mortgage, Inc. 11,464
-------------
88,899
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT--1.9%
431 CB Richard Ellis Group, Inc.,
Class A (a) 15,051
179 Jones Lang LaSalle, Inc. 19,650
-------------
34,701
-------------
ROAD & RAIL--1.1%
377 Ryder System, Inc. 20,497
-------------
SOFTWARE--1.1%
173 FactSet Research Systems, Inc. 11,416
196 Fair Isaac Corp. 7,695
-------------
19,111
-------------
THRIFTS & MORTGAGE FINANCE
--7.7%
157 Astoria Financial Corp. 3,697
433 Countrywide Financial Corp. 12,198
120 Fannie Mae 7,181
334 Freddie Mac 19,128
695 IndyMac Bancorp, Inc. 15,290
356 MGIC Investment Corp. 13,763
231 New York Community Bancorp, Inc. 3,749
454 PMI Group (The), Inc. 15,468
375 Radian Group, Inc. 12,641
1,757 TFS Financial Corp. (a) 19,959
162 Washington Federal, Inc. 3,650
277 Washington Mutual, Inc. 10,396
-------------
137,120
-------------
|
Page 44 See Notes to Financial Statements
First Trust Financials AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES & DISTRIBUTORS
--1.7%
240 GATX Corp. $ 10,886
623 United Rentals, Inc. (a) 20,024
-------------
30,910
-------------
TOTAL INVESTMENTS--101.3%
(Cost $2,026,884) 1,814,396
NET OTHER ASSETS AND
LIABILITIES--(1.3%) (23,435)
-------------
NET ASSETS--100.0% $ 1,790,961
=============
|
(a) Non-income producing security.
See Notes to Financial Statements Page 45
First Trust Health Care AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS--98.3%
BIOTECHNOLOGY--8.9%
318 Amgen, Inc. (a) $ 17,089
214 Amylin Pharmaceuticals, Inc. (a) 9,953
329 Biogen Idec, Inc. (a) 18,602
307 Celgene Corp. (a) 18,592
586 Cephalon, Inc. (a) 44,031
137 Genzyme Corp. (a) 8,641
729 Gilead Sciences, Inc. (a) 27,141
1,214 PDL BioPharma, Inc. (a) 28,517
-------------
172,566
-------------
COMMERCIAL SERVICES & SUPPLIES
--2.0%
792 Stericycle, Inc. (a) 37,968
-------------
FOOD & STAPLES RETAILING--1.7%
965 CVS Caremark Corp. 33,958
-------------
HEALTH CARE EQUIPMENT & SUPPLIES
--22.3%
679 Bausch & Lomb, Inc. 43,408
502 Baxter International, Inc. 26,405
136 Beckman Coulter, Inc. 9,632
192 Biomet, Inc. (a) 8,742
330 Cooper Cos. (The), Inc. 16,543
1,093 Cytyc Corp. (a) 46,015
662 Dade Behring Holdings, Inc. 49,551
920 DENTSPLY International, Inc. 33,571
291 Gen-Probe, Inc. (a) 18,336
299 IDEXX Laboratories, Inc. (a) 29,978
254 Intuitive Surgical, Inc. (a) 54,003
544 Kinetic Concepts, Inc. (a) 33,445
413 Respironics, Inc. (a) 18,895
682 St. Jude Medical, Inc. (a) 29,421
139 Stryker Corp. 8,678
104 Zimmer Holdings, Inc. (a) 8,087
-------------
434,710
-------------
HEALTH CARE PROVIDERS & SERVICES
--37.6%
712 Aetna, Inc. 34,226
572 AmerisourceBergen Corp. 26,947
193 Brookdale Senior Living, Inc. 7,722
249 Cardinal Health, Inc. 16,367
870 Community Health Systems, Inc. (a) 33,843
610 Coventry Health Care, Inc. (a) 34,044
327 DaVita, Inc. (a) 17,311
942 Express Scripts, Inc. (a) 47,222
333 Health Net, Inc. (a) 16,497
329 Henry Schein, Inc. (a) 17,878
774 Humana, Inc. (a) 49,606
225 Laboratory Corp. of America
Holdings (a) 16,616
1,218 LifePoint Hospitals, Inc. (a) 35,992
221 Lincare Holdings, Inc. (a) 7,887
722 Manor Care, Inc. 45,739
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
590 McKesson Corp. $ 34,078
604 Medco Health Solutions, Inc. (a) 49,087
244 Omnicare, Inc. 8,091
236 Patterson Cos., Inc. (a) 8,465
160 Pediatrix Medical Group, Inc. (a) 8,634
681 Quest Diagnostics, Inc. 37,775
423 Sierra Health Services, Inc. (a) 17,191
344 UnitedHealth Group, Inc. 16,660
766 Universal Health Services, Inc., Class B 40,169
467 VCA Antech, Inc. (a) 18,372
521 WellCare Health Plans, Inc. (a) 52,757
441 WellPoint, Inc. (a) 33,128
-------------
732,304
-------------
HEALTH CARE TECHNOLOGY--3.0%
634 Cerner Corp. (a) 33,520
880 IMS Health, Inc. 24,754
-------------
58,274
-------------
LIFE SCIENCES TOOLS & SERVICES--9.3%
682 Charles River Laboratories
International, Inc. (a) 34,905
412 Covance, Inc. (a) 29,075
383 Invitrogen Corp. (a) 27,499
377 Millipore Corp. (a) 29,636
739 Pharmaceutical Product Development,
Inc. 24,757
680 Thermo Fisher Scientific, Inc. (a) 35,502
-------------
181,374
-------------
PHARMACEUTICALS--13.5%
153 Allergan, Inc. 8,894
175 Barr Pharmaceuticals, Inc. (a) 8,964
279 Bristol-Myers Squibb Co. 7,926
257 Endo Pharmaceuticals Holdings, Inc. (a) 8,741
459 Johnson & Johnson 27,770
2,304 King Pharmaceuticals, Inc. (a) 39,191
353 Merck & Co., Inc. 17,526
1,376 Pfizer, Inc. 32,350
1,548 Schering-Plough Corp. 44,179
1,449 Watson Pharmaceuticals, Inc. (a) 44,079
493 Wyeth 23,920
-------------
263,540
-------------
|
TOTAL INVESTMENTS--98.3%
(Cost $1,939,767) 1,914,694
NET OTHER ASSETS AND
LIABILITIES--1.7% 33,838
-------------
NET ASSETS--100.0% $ 1,948,532
=============
(a) Non-income producing security.
|
Page 46 See Notes to Financial Statements
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS--100.3%
AEROSPACE & DEFENSE--12.2%
1,318 Alliant Techsystems, Inc. (a) $ 130,627
3,950 BE Aerospace, Inc. (a) 160,213
310 Boeing (The), Co. 32,063
2,191 Goodrich Corp. 137,836
1,143 Northrop Grumman Corp. 86,982
417 United Technologies Corp. 30,428
-------------
578,149
-------------
COMMERCIAL SERVICES & SUPPLIES--1.9%
2,647 Covanta Holding Corp. (a) 60,034
1,604 Steelcase, Inc., Class A 27,926
-------------
87,960
-------------
COMPUTERS & PERIPHERALS--2.5%
1,252 Diebold, Inc. 63,439
1,323 Lexmark International, Inc., Class A (a) 52,311
-------------
115,750
-------------
ELECTRICAL EQUIPMENT--10.8%
2,245 AMETEK, Inc. 87,600
1,559 Cooper Industries Ltd., Class A 82,502
2,155 General Cable Corp. (a) 171,322
1,203 Hubbell, Inc., Class B 69,353
521 Roper Industries, Inc. 31,250
1,127 Thomas & Betts Corp. (a) 69,649
-------------
511,676
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--3.8%
682 Mettler-Toledo International, Inc. (a) 64,899
2,967 Molex, Inc. 84,085
878 Tektronix, Inc. 28,842
-------------
177,826
-------------
HOUSEHOLD DURABLES--15.8%
8,189 D.R. Horton, Inc. 133,644
3,317 KB Home 105,514
1,785 Lennar Corp., Class A 54,728
240 NVR, Inc. (a) 138,835
1,323 Pulte Homes, Inc. 25,587
4,366 Ryland Group (The), Inc. 145,169
6,535 Toll Brothers, Inc. (a) 143,313
-------------
746,790
-------------
MACHINERY--39.8%
3,007 AGCO Corp. (a 115,559
1,137 Caterpillar, Inc. 89,596
652 Crane Co. 29,901
1,613 Cummins, Inc. 191,463
737 Deere & Co. 88,750
1,824 Flowserve Corp. 131,820
2,091 Gardner Denver, Inc. (a) 86,965
2,310 IDEX Corp. 83,645
MACHINERY (CONTINUED)
1,204 Illinois Tool Works, Inc. $ 66,280
2,381 Ingersoll-Rand Co., Ltd., Class A 119,812
1,118 Joy Global, Inc. 55,330
1,990 Kennametal, Inc. 152,553
1,759 Lincoln Electric Holdings, Inc. 126,630
2,030 Manitowoc (The) Co., Inc. 157,670
2,838 Pall Corp. 117,834
908 Parker Hannifin Corp. 89,601
2,009 Terex Corp. (a) 173,276
-------------
1,876,685
-------------
OFFICE ELECTRONICS--1.8%
4,817 Xerox Corp. (a) 84,105
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--7.9%
1,493 Applied Materials, Inc. 32,906
541 KLA-Tencor Corp. 30,723
4,601 Novellus Systems, Inc. (a) 131,221
1,689 Teradyne, Inc. (a) 26,500
3,258 Varian Semiconductor Equipment
Associates, Inc. (a) 153,126
-------------
374,476
-------------
TRADING COMPANIES & DISTRIBUTORS
--1.8%
957 W.W. Grainger, Inc. 83,604
-------------
WIRELESS TELECOMMUNICATION
SERVICES--2.0%
707 American Tower Corp., Class A (a) 29,454
1,944 SBA Communications Corp. (a) 64,774
-------------
94,228
-------------
TOTAL INVESTMENTS--100.3%
(Cost $4,997,436) 4,731,249
NET OTHER ASSETS AND
LIABILITIES--(0.3%) (12,930)
-------------
NET ASSETS--100.0% $ 4,718,319
=============
|
(a) Non-income producing security.
See Notes to Financial Statements Page 47
First Trust Materials AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCK--97.9%
AEROSPACE & DEFENSE--2.4%
522 Precision Castparts Corp. $ 71,545
-------------
BUILDING PRODUCTS--9.0%
806 American Standard Cos., Inc. 43,564
1,711 Armstrong World Industries, Inc. (a) 74,121
926 Lennox International, Inc. 35,466
2,551 Owens Corning, Inc. (a) 77,627
969 USG Corp. (a) 40,223
-------------
271,001
-------------
CHEMICALS--25.8%
394 Air Products and Chemicals, Inc. 34,030
992 Airgas, Inc. 46,327
248 Ashland, Inc. 15,143
664 Cabot Corp. 26,812
2,213 Celanese Corp., Class A 82,989
2,852 Chemtura Corp. 29,746
745 Cytec Industries, Inc. 49,908
1,075 Dow Chemical (The) Co. 46,741
312 E.I. du Pont de Nemours and Co. 14,580
739 Eastman Chemical Co. 50,858
982 Lubrizol (The) Corp. 61,532
704 Monsanto Co. 45,373
1,218 Mosaic (The) Co. (a) 45,748
1,731 Nalco Holding Co. 39,882
208 PPG Industries, Inc. 15,864
220 Praxair, Inc. 16,856
579 Rohm and Haas Co. 32,725
685 RPM International, Inc. 16,104
371 Sigma-Aldrich Corp. 16,814
558 Valspar (The) Corp. 15,395
3,051 Westlake Chemical Corp. 76,214
-------------
779,641
-------------
CONSTRUCTION & ENGINEERING--10.9%
427 Fluor Corp. 49,323
1,492 Jacobs Engineering Group, Inc. (a) 91,952
2,066 Quanta Services, Inc. (a) 58,736
1,854 Shaw Group (The), Inc. (a) 98,670
653 URS Corp. (a) 32,167
-------------
330,848
-------------
CONSTRUCTION MATERIALS--1.3%
293 Martin Marietta Materials, Inc. 40,141
-------------
CONTAINERS & PACKAGING--9.1%
1,192 Ball Corp. 61,114
955 Bemis Co., Inc. 28,144
1,269 Crown Holdings, Inc. (a) 31,167
2,452 Owens-Illinois, Inc. (a) 98,030
626 Packaging Corp. of America 15,976
1,021 Sealed Air Corp. 27,822
370 Sonoco Products Co. 13,568
-------------
275,821
-------------
FOOD PRODUCTS--2.7%
1,436 Archer-Daniels-Midland Co. $ 48,250
187 Bunge Ltd. 16,944
349 Corn Products International, Inc. 15,572
-------------
80,766
-------------
HOUSEHOLD PRODUCTS--1.6%
477 Energizer Holdings, Inc. (a) 48,129
-------------
INDUSTRIAL CONGLOMERATES--2.8%
1,032 McDermott International, Inc. (a) 85,594
-------------
MACHINERY--2.6%
1,219 Harsco Corp. 64,192
439 Timken (The) Co. 14,663
-------------
78,855
-------------
METALS & MINING--26.1%
2,296 AK Steel Holding Corp. (a) 91,770
782 Alcoa, Inc. 29,872
302 Allegheny Technologies, Inc. 31,689
243 Carpenter Technology Corp. 28,842
882 Chaparral Steel Co. 74,123
816 Cleveland-Cliffs, Inc. 56,524
1,876 Commercial Metals Co. 57,856
765 Freeport-McMoRan Copper &
Gold, Inc. 71,895
406 Newmont Mining Corp. 16,951
1,080 Nucor Corp. 54,216
1,525 Reliance Steel & Aluminum Co. 80,124
672 Southern Copper Corp. 75,741
1,512 Steel Dynamics, Inc. 63,398
583 United States Steel Corp. 57,303
-------------
790,304
-------------
PAPER & FOREST PRODUCTS--3.6%
2,197 International Paper Co. 81,443
401 Weyerhaeuser Co. 28,567
-------------
110,010
-------------
TOTAL INVESTMENTS--97.9%
(Cost $3,016,697) 2,962,655
NET OTHER ASSETS AND
LIABILITIES--2.1% 62,452
-------------
NET ASSETS--100.0% $ 3,025,107
=============
|
(a) Non-income producing security.
Page 48 See Notes to Financial Statements
First Trust Technology AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS--101.2%
AEROSPACE & DEFENSE--4.8%
676 DRS Technologies, Inc. $ 35,395
247 General Dynamics Corp. 19,404
497 L-3 Communications Holdings, Inc. 48,488
-------------
103,287
-------------
COMMUNICATIONS EQUIPMENT--17.4%
2,639 ADC Telecommunications, Inc. (a) 49,323
2,298 Avaya, Inc. (a) 38,009
1,071 Ciena Corp. (a) 39,124
695 Cisco Systems, Inc. (a) 20,092
829 CommScope, Inc. (a) 45,122
355 Corning, Inc. 8,463
480 F5 Networks, Inc. (a) 41,611
709 Harris Corp. 38,910
1,537 Juniper Networks, Inc. (a) 46,049
1,093 Motorola, Inc. 18,570
209 QUALCOMM, Inc. 8,705
1,798 Tellabs, Inc. (a) 20,407
-------------
374,385
-------------
COMPUTERS & PERIPHERALS--16.2%
396 Apple, Inc. (a) 52,177
1,160 Brocade Communications Systems,
Inc. (a) 8,166
1,016 Dell, Inc. (a) 28,418
2,672 EMC Corp. (a) 49,459
650 Hewlett-Packard Co. 29,920
184 International Business Machines Corp. 20,360
552 NCR Corp. (a) 28,825
1,162 QLogic Corp. (a) 15,443
395 SanDisk Corp. (a) 21,184
1,333 Seagate Technology 31,339
1,724 Sun Microsystems, Inc. (a) 8,792
2,500 Western Digital Corp. (a) 53,374
-------------
347,457
-------------
ELECTRICAL EQUIPMENT--3.4%
279 Rockwell Automation, Inc. 19,527
767 SunPower Corp., Class A (a) 54,097
-------------
73,624
-------------
ELECTRONIC EQUIPMENT & INSTRUMENTS
--17.2%
1,085 Amphenol Corp., Class A 37,172
1,259 Arrow Electronics, Inc. (a) 48,119
1,220 Avnet, Inc. (a) 46,214
2,311 AVX Corp. 36,953
1,337 Ingram Micro, Inc., Class A (a) 26,807
411 Jabil Circuit, Inc. 9,260
891 National Instruments Corp. 28,824
10,514 Solectron Corp. (a) 39,533
1,502 Trimble Navigation Ltd. (a) 49,610
ELECTRONIC EQUIPMENT & INSTRUMENTS
(CONTINUED)
3,057 Vishay Intertechnology, Inc. (a) $ 47,414
-------------
369,906
-------------
HOUSEHOLD DURABLES--2.6%
654 Garmin Ltd. 54,871
-------------
IT SERVICES--6.0%
343 Acxiom Corp. 8,630
512 Affiliated Computer Services, Inc.,
Class A (a) 27,474
553 Ceridian Corp. (a) 18,747
654 Computer Sciences Corp. (a) 36,415
1,395 Electronic Data Systems Corp. 37,650
-------------
128,916
-------------
LIFE SCIENCES TOOLS & SERVICES--1.0%
742 PerkinElmer, Inc. 20,650
-------------
OFFICE ELECTRONICS--0.4%
234 Zebra Technologies Corp., Class A (a) 8,478
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--18.7%
874 Altera Corp. 20,277
241 Analog Devices, Inc. 8,543
748 Cree, Inc. (a) 19,164
2,077 Cypress Semiconductor Corp. (a) 52,050
1,502 Fairchild Semiconductor International,
Inc. (a) 27,412
382 Intel Corp. 9,023
779 International Rectifier Corp. (a) 28,597
922 Intersil Corp., Class A 26,969
5,152 LSI Corp. (a) 37,094
271 Maxim Integrated Products, Inc. 8,591
475 MEMC Electronic Materials, Inc. (a) 29,127
3,860 Micron Technology, Inc. (a) 45,818
321 National Semiconductor Corp. 8,343
1,171 NVIDIA Corp. (a) 53,584
771 Texas Instruments, Inc. 27,131
-------------
401,723
-------------
SOFTWARE--13.5%
228 Amdocs Ltd. (a) 8,251
822 Autodesk, Inc. (a) 34,829
1,413 BEA Systems, Inc. (a) 17,493
881 Cadence Design Systems, Inc. (a) 18,853
269 Citrix Systems, Inc. (a) 9,730
3,262 Compuware Corp. (a) 30,434
1,099 McAfee, Inc. (a) 39,411
308 Microsoft Corp. 8,929
457 NAVTEQ Corp. (a) 24,737
1,164 Novell, Inc. (a) 7,810
1,472 Oracle Corp. (a) 28,145
677 Salesforce.com, Inc. (a) 26,308
|
See Notes to Financial Statements Page 49
First Trust Technology AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
1,437 Symantec Corp. (a) $ 27,590
343 Synopsys, Inc. (a) 8,390
-------------
290,910
-------------
TOTAL INVESTMENTS--101.2%
(Cost $2,170,215) 2,174,207
NET OTHER ASSETS AND
LIABILITIES--(1.2%) (25,271)
-------------
NET ASSETS--100.0% $ 2,148,936
=============
|
(a) Non-income producing security.
Page 50 See Notes to Financial Statements
First Trust Utilities AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS--100.6%
DIVERSIFIED TELECOMMUNICATION
SERVICES--4.2%
421 AT&T, Inc. $ 16,486
1,780 CenturyTel, Inc. 81,649
424 Verizon Communications, Inc. 18,071
-------------
116,206
-------------
ELECTRIC UTILITIES--24.7%
775 American Electric Power Co., Inc. 33,705
4,770 Duke Energy Corp. 81,232
622 Edison International 32,898
163 Entergy Corp. 16,293
809 FirstEnergy Corp. 49,147
308 FPL Group, Inc. 17,781
2,398 Great Plains Energy, Inc. 66,568
737 Hawaiian Electric Industries, Inc. 16,811
1,231 Northeast Utilities 33,656
1,238 Pepco Holdings, Inc. 33,513
2,191 Pinnacle West Capital Corp. 82,118
1,119 PPL Corp. 52,750
1,532 Progress Energy, Inc. 66,887
3,977 Sierra Pacific Resources (a) 63,195
1,018 Southern Co. 34,246
-------------
680,800
-------------
GAS UTILITIES--9.6%
863 AGL Resources, Inc. 32,535
2,904 Atmos Energy Corp. 81,514
1,271 Energen Corp. 67,249
346 ONEOK, Inc. 17,560
330 Questar Corp. 16,992
536 Southern Union Company 16,552
1,280 UGI Corp. 33,037
-------------
265,439
-------------
INDEPENDENT POWER PRODUCERS
& ENERGY TRADERS--4.0%
401 Constellation Energy Group 33,604
2,047 Mirant Corp. (a) 77,438
-------------
111,042
-------------
MEDIA--3.1%
2,412 Cablevision Systems Corp.,
Class A (a) 85,843
-------------
MULTI-UTILITIES--41.8%
2,247 Alliant Energy Corp. 83,027
1,425 Ameren Corp. 68,372
1,015 CMS Energy Corp. 16,402
1,548 Consolidated Edison, Inc. 67,617
202 Dominion Resources, Inc. 17,012
1,448 DTE Energy Co. 67,158
2,677 Energy East Corp. 67,755
344 Integrys Energy Group, Inc. 17,025
1,248 KeySpan Corp. 51,854
MULTI-UTILITIES (CONTINUED)
1,868 MDU Resources Group, Inc. $ 50,922
4,215 NiSource, Inc. 80,380
1,614 NSTAR 50,760
1,429 OGE Energy Corp. 47,371
1,156 PG&E Corp. 49,488
3,610 Puget Energy, Inc. 83,571
1,824 SCANA Corp. 68,181
590 Sempra Energy 31,105
3,049 TECO Energy, Inc. 49,211
2,593 Vectren Corp. 64,747
1,184 Wisconsin Energy Corp. 50,829
3,412 Xcel Energy, Inc. 69,264
-------------
1,152,051
-------------
WIRELESS TELECOMMUNICATION
SERVICES--13.2%
517 ALLTEL Corp. 34,096
1,033 Leap Wireless International, Inc. (a) 91,317
432 NII Holdings, Inc. (a) 36,297
2,529 Sprint Nextel Corp. 51,920
837 Telephone and Data Systems, Inc. 55,577
964 United States Cellular Corp. (a) 93,508
-------------
362,715
-------------
|
TOTAL INVESTMENTS--100.6%
(Cost $3,010,654) 2,774,096
NET OTHER ASSETS AND
LIABILITIES--(0.6%) (17,883)
-------------
NET ASSETS--100.0% $ 2,756,213
=============
|
(a) Non-income producing security.
See Notes to Financial Statements Page 51
First Trust Large Cap Core AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS --100.4%
AEROSPACE & DEFENSE--2.7%
84 Boeing (The) Co. $ 8,688
103 General Dynamics Corp. 8,092
45 Goodrich Corp. 2,831
138 L-3 Communications Holdings, Inc. 13,463
29 Lockheed Martin Corp. 2,856
138 Northrop Grumman Corp. 10,502
111 Precision Castparts Corp. 15,213
50 Raytheon Co. 2,768
76 Rockwell Collins, Inc. 5,221
113 United Technologies Corp. 8,246
-------------
77,880
-------------
AIR FREIGHT & LOGISTICS--0.8%
153 C.H. Robinson Worldwide, Inc. 7,443
97 FedEx Corp. 10,743
74 United Parcel Service, Inc., Class B 5,603
-------------
23,789
-------------
AIRLINES--0.3%
540 Southwest Airlines Co. 8,456
-------------
AUTO COMPONENTS--0.2%
46 Johnson Controls, Inc. 5,205
-------------
BEVERAGES--1.0%
37 Brown-Forman Corp., Class B 2,458
51 Coca-Cola (The) Co. 2,658
331 Constellation Brands, Inc.,
Class A (a) 7,259
116 Molson Coors Brewing Co., Class B 10,317
159 Pepsi Bottling Group (The), Inc. 5,320
-------------
28,012
-------------
BIOTECHNOLOGY--0.7%
100 Biogen Idec, Inc. (a) 5,654
94 Celgene Corp. (a) 5,693
208 Gilead Sciences, Inc. (a) 7,743
-------------
19,090
-------------
BUILDING PRODUCTS--0.4%
227 American Standard Cos., Inc. 12,269
-------------
CAPITAL MARKETS--3.5%
169 Ameriprise Financial, Inc. 10,186
77 Bear Stearns (The) Cos., Inc. 9,334
121 E*TRADE Financial Corp. (a) 2,241
70 Federated Investors, Inc., Class B 2,521
81 Franklin Resources, Inc. 10,317
62 Goldman Sachs Group (The), Inc. 11,677
385 Janus Capital Group, Inc. 11,573
55 Legg Mason, Inc. 4,950
144 Lehman Brothers Holdings, Inc. 8,928
96 Merrill Lynch & Co., Inc. 7,123
32 Morgan Stanley 2,044
84 Northern Trust Corp. 5,247
CAPITAL MARKETS (CONTINUED)
78 State Street Corp. $ 5,228
155 T. Rowe Price Group, Inc. 8,080
-------------
99,449
-------------
CHEMICALS--3.3%
100 Air Products and Chemicals, Inc. 8,637
42 Ashland, Inc. 2,565
303 Dow Chemical (The) Co. 13,174
158 E.I. du Pont de Nemours & Co. 7,383
167 Eastman Chemical Co. 11,493
273 Hercules, Inc. (a) 5,667
154 International Flavors & Fragrances, Inc. 7,717
199 Monsanto Co. 12,826
70 PPG Industries, Inc. 5,339
112 Praxair, Inc. 8,581
196 Rohm and Haas Co. 11,078
-------------
94,460
-------------
COMMERCIAL BANKS--3.0%
66 BB&T Corp. 2,470
90 Comerica, Inc. 4,739
145 Commerce Bancorp, Inc. 4,850
78 Compass Bancshares, Inc. 5,404
69 First Horizon National Corp. 2,189
354 Huntington Bancshares, Inc. 6,797
234 KeyCorp 8,117
50 M&T Bank Corp. 5,315
56 Marshall & Ilsley Corp. 2,308
322 National City Corp. 9,463
150 PNC Financial Services Group, Inc. 9,997
162 Regions Financial Corp. 4,871
31 SunTrust Banks, Inc. 2,427
81 U.S. Bancorp 2,426
157 Wachovia Corp. 7,412
76 Wells Fargo & Co. 2,567
70 Zions Bancorporation 5,219
-------------
86,571
-------------
COMMERCIAL SERVICES & SUPPLIES
--1.3%
797 Allied Waste Industries, Inc. (a) 10,257
81 Avery Dennison Corp. 4,969
121 Equifax, Inc. 4,896
185 R.R. Donnelley & Sons Co. 7,818
74 Robert Half International, Inc. 2,515
206 Waste Management, Inc. 7,834
-------------
38,289
-------------
COMMUNICATIONS EQUIPMENT--2.6%
732 ADC Telecommunications, Inc. (a) 13,682
797 Avaya, Inc. (a) 13,182
297 Ciena Corp. (a) 10,849
289 Cisco Systems, Inc. (a) 8,355
105 Corning, Inc. (a) 2,503
426 Juniper Networks, Inc. (a) 12,763
|
Page 52 See Notes to Financial Statements
First Trust Large Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMUNICATIONS EQUIPMENT (CONTINUED)
303 Motorola, Inc. $ 5,148
62 QUALCOMM, Inc. 2,582
499 Tellabs, Inc. (a) 5,664
-------------
74,728
-------------
COMPUTERS & PERIPHERALS--2.4%
110 Apple, Inc. (a) 14,493
282 Dell, Inc. (a) 7,888
741 EMC Corp. (a) 13,716
120 Hewlett-Packard Co. 5,524
76 International Business Machines Corp. 8,409
204 NCR Corp. (a) 10,653
110 SanDisk Corp. (a) 5,899
510 Sun Microsystems, Inc. (a) 2,601
-------------
69,183
-------------
CONSTRUCTION & ENGINEERING--0.5%
120 Fluor Corp. 13,861
-------------
CONSTRUCTION MATERIALS--0.2%
47 Vulcan Materials Co. 4,499
-------------
CONSUMER FINANCE--0.4%
44 American Express Co. 2,576
186 SLM Corp. (a) 9,145
-------------
11,721
-------------
CONTAINERS & PACKAGING--1.2%
252 Ball Corp. 12,919
323 Bemis Co., Inc. 9,519
346 Sealed Air Corp. 9,429
44 Temple-Inland, Inc. 2,558
-------------
34,425
-------------
DISTRIBUTORS--0.2%
108 Genuine Parts Co. 5,139
-------------
DIVERSIFIED CONSUMER SERVICES
--0.4%
138 Apollo Group, Inc., Class A (a) 8,157
115 H&R Block, Inc. 2,294
-------------
10,451
-------------
DIVERSIFIED FINANCIAL SERVICES--0.9%
165 Bank of America Corp. 7,824
196 CIT Group, Inc. 8,071
52 Citigroup, Inc. 2,422
166 JPMorgan Chase & Co. 7,306
-------------
25,623
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES--1.3%
129 AT&T, Inc. 5,052
273 CenturyTel, Inc. 12,522
DIVERSIFIED TELECOMMUNICATION
SERVICES (CONTINUED)
351 Citizens Communications Co. $ 5,065
85 Embarq Corp. 5,252
195 Verizon Communications, Inc. 8,311
182 Windstream Corp. 2,504
-------------
38,706
-------------
ELECTRIC UTILITIES--3.5%
52 Allegheny Energy, Inc. (a) 2,716
238 American Electric Power Co., Inc. 10,351
733 Duke Energy Corp. 12,483
191 Edison International 10,102
50 Entergy Corp. 4,998
74 Exelon Corp. 5,191
166 FirstEnergy Corp. 10,085
142 FPL Group, Inc. 8,198
337 Pinnacle West Capital Corp. 12,631
57 PPL Corp. 2,687
294 Progress Energy, Inc. 12,835
235 Southern Co. 7,905
-------------
100,182
-------------
ELECTRICAL EQUIPMENT--0.7%
188 Cooper Industries Ltd., Class A 9,949
115 Emerson Electric Co. 5,413
77 Rockwell Automation, Inc. 5,389
-------------
20,751
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--1.1%
70 Agilent Technologies, Inc. (a) 2,671
122 Jabil Circuit, Inc. 2,749
447 Molex, Inc. 12,667
1,458 Solectron Corp. (a) 5,482
239 Tektronix, Inc. 7,851
-------------
31,420
-------------
ENERGY EQUIPMENT & SERVICES--4.8%
159 Baker Hughes, Inc. 12,569
220 ENSCO International, Inc. 13,435
233 Halliburton Co. 8,393
241 Nabors Industries Ltd. (a) 7,047
129 National Oilwell Varco, Inc. (a) 15,494
138 Noble Corp. 14,139
327 Rowan Cos., Inc. 13,796
158 Schlumberger Ltd. 14,966
229 Smith International, Inc. 14,063
27 Transocean, Inc. (a) 13,646
194 Weatherford International Ltd. (a) 10,734
-------------
138,282
-------------
FOOD & STAPLES RETAILING--1.5%
46 Costco Wholesale Corp. 2,751
294 CVS Caremark Corp. 10,347
|
See Notes to Financial Statements Page 53
First Trust Large Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD & STAPLES RETAILING (CONTINUED)
191 Kroger (The) Co. $ 4,958
315 Safeway, Inc. 10,039
232 SUPERVALU, Inc. 9,667
56 Wal-Mart Stores, Inc. 2,573
70 Whole Foods Market, Inc. 2,593
-------------
42,928
-------------
FOOD PRODUCTS--1.3%
405 Archer-Daniels-Midland Co. 13,608
337 Dean Foods Co. (a) 9,695
46 General Mills, Inc. 2,559
152 Kraft Foods, Inc., Class A 4,978
97 Wm. Wrigley Jr. Co. 5,595
-------------
36,435
-------------
GAS UTILITIES--0.5%
250 Nicor, Inc. 9,852
102 Questar Corp. 5,252
-------------
15,104
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--0.8%
143 Baxter International, Inc. 7,522
59 Biomet, Inc. (a) 2,686
194 St. Jude Medical, Inc. (a) 8,370
43 Stryker Corp. 2,684
32 Zimmer Holdings, Inc. (a) 2,488
-------------
23,750
-------------
HEALTH CARE PROVIDERS & SERVICES
--3.0%
54 Aetna, Inc. 2,596
54 AmerisourceBergen Corp. 2,544
76 Cardinal Health, Inc. 4,995
206 CIGNA Corp. 10,638
140 Coventry Health Care, Inc. (a) 7,813
268 Express Scripts, Inc. (a) 13,435
176 Humana, Inc. (a) 11,280
69 Laboratory Corp. of America
Holdings (a) 5,096
205 Manor Care, Inc. 12,987
45 McKesson Corp. 2,599
105 UnitedHealth Group, Inc. 5,085
101 WellPoint, Inc. (a) 7,587
-------------
86,655
-------------
HEALTH CARE TECHNOLOGY- 0.2%
250 IMS Health, Inc. 7,033
-------------
HOTELS, RESTAURANTS & LEISURE--1.7%
220 Carnival Corp. 9,749
61 Darden Restaurants, Inc. 2,597
63 Harrah's Entertainment, Inc. 5,335
80 Hilton Hotels Corp. 3,537
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
159 McDonald's Corp. $ 7,611
120 Starwood Hotels & Resorts
Worldwide, Inc. 7,555
148 Wyndham Worldwide Corp. (a) 4,980
246 Yum! Brands, Inc. 7,882
-------------
49,246
-------------
HOUSEHOLD DURABLES--2.5%
30 Black & Decker (The) Corp. 2,597
65 Fortune Brands, Inc. 5,285
92 Harman International Industries, Inc. 10,672
341 KB Home 10,847
608 Leggett & Platt, Inc. 12,604
220 Lennar Corp., Class A 6,745
359 Pulte Homes, Inc. 6,943
133 Stanley Works (The) 7,359
72 Whirlpool Corp. 7,352
-------------
70,404
-------------
HOUSEHOLD PRODUCTS--0.2%
80 Kimberly-Clark Corp. 5,382
-------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS--0.5%
245 AES (The) Corp. (a) 4,814
123 Constellation Energy Group. 10,308
-------------
15,122
-------------
INDUSTRIAL CONGLOMERATES--0.9%
93 3M Co. 8,270
70 General Electric Co. 2,713
318 Tyco International Ltd. 15,038
-------------
26,021
-------------
INSURANCE--5.2%
215 ACE Ltd. 12,410
52 AFLAC, Inc. 2,710
174 Allstate (The) Corp. 9,248
38 American International Group, Inc. 2,439
63 Aon Corp. 2,523
137 Assurant, Inc. 6,949
248 Chubb (The) Corp. 12,502
185 Cincinnati Financial Corp. 7,252
156 Genworth Financial, Inc., Class A 4,761
82 Hartford Financial Services Group
(The), Inc. 7,533
38 Lincoln National Corp. 2,292
211 Loews Corp. 10,001
87 Marsh & McLennan Cos., Inc. 2,397
172 MBIA, Inc. 9,649
125 MetLife, Inc. 7,528
28 Prudential Financial, Inc. 2,482
215 SAFECO Corp. 12,571
80 Torchmark Corp. 4,923
|
Page 54 See Notes to Financial Statements
First Trust Large Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
251 Travelers (The) Cos., Inc. $ 12,745
103 Unum Group 2,503
159 XL Capital Ltd., Class A 12,380
-------------
147,798
-------------
INTERNET & CATALOG RETAIL--0.5%
196 Amazon.com, Inc. (a) 15,394
-------------
INTERNET SOFTWARE & SERVICES--0.5%
15 Google, Inc., Class A (a) 7,650
254 VeriSign, Inc. (a) 7,541
-------------
15,191
-------------
IT SERVICES--1.9%
47 Affiliated Computer Services, Inc.,
Class A (a) 2,522
181 Computer Sciences Corp. (a) 10,078
443 Convergys Corp. (a) 8,439
387 Electronic Data Systems Corp. 10,445
247 Fidelity National Information
Services, Inc. 12,259
164 First Data Corp. 5,214
94 Fiserv, Inc. (a) 4,645
-------------
53,602
-------------
LEISURE EQUIPMENT & PRODUCTS--0.9%
411 Brunswick Corp. 11,492
256 Hasbro, Inc. 7,173
318 Mattel, Inc. 7,285
-------------
25,950
-------------
LIFE SCIENCES TOOLS & SERVICES--1.0%
107 Millipore Corp. (a) 8,412
103 PerkinElmer, Inc. 2,866
207 Thermo Fisher Scientific, Inc. (a) 10,808
90 Waters Corp. (a) 5,243
-------------
27,329
-------------
MACHINERY--4.2%
137 Caterpillar, Inc. 10,796
106 Cummins, Inc. 12,582
71 Danaher Corp. 5,302
89 Deere & Co. 10,717
105 Dover Corp. 5,355
58 Eaton Corp. 5,636
149 Illinois Tool Works, Inc. 8,202
98 Ingersoll-Rand Co., Ltd., Class A 4,931
196 ITT Corp. 12,324
62 PACCAR, Inc. 5,073
292 Pall Corp. 12,124
137 Parker Hannifin Corp. 13,520
165 Terex Corp. (a) 14,232
-------------
120,794
-------------
MEDIA--3.0%
242 CBS Corp., Class B $ 7,676
71 Clear Channel Communications, Inc. 2,620
191 Comcast Corp., Class A (a) 5,018
348 DIRECTV Group (The), Inc. (a) 7,799
117 E.W. Scripps (The) Co., Class A 4,793
244 Gannett Co., Inc. 12,176
87 Meredith Corp. 4,915
126 News Corp., Class A 2,661
51 Omnicom Group, Inc. 2,645
510 Time Warner, Inc. 9,823
456 Tribune Co. 12,749
64 Viacom, Inc., Class B (a) 2,451
314 Walt Disney (The) Co. 10,362
-------------
85,688
-------------
METALS & MINING--1.5%
265 Alcoa, Inc. 10,123
102 Allegheny Technologies, Inc. 10,703
97 Freeport-McMoRan Copper &
Gold, Inc. 9,116
46 Nucor Corp. 2,309
123 United States Steel Corp. 12,090
-------------
44,341
-------------
MULTILINE RETAIL--2.7%
365 Big Lots, Inc. (a) 9,439
373 Dillard's, Inc., Class A 11,149
391 Family Dollar Stores, Inc. 11,581
111 J. C. Penney Co., Inc. 7,552
38 Kohl's Corp. (a) 2,310
337 Macy's, Inc. 12,157
105 Nordstrom, Inc. 4,996
63 Sears Holdings Corp. (a) 8,618
169 Target Corp. 10,236
-------------
78,038
-------------
MULTI-UTILITIES--4.7%
274 Ameren Corp. 13,147
308 CenterPoint Energy, Inc. 5,076
468 CMS Energy Corp. 7,563
297 Consolidated Edison, Inc. 12,973
93 Dominion Resources, Inc. 7,832
278 DTE Energy Co. 12,894
159 Integrys Energy Group, Inc. 7,869
256 KeySpan Corp. 10,637
648 NiSource, Inc. 12,357
237 PG&E Corp. 10,146
181 Sempra Energy 9,542
625 TECO Energy, Inc. 10,088
655 Xcel Energy, Inc. 13,296
-------------
133,420
-------------
OFFICE ELECTRONICS--0.4%
581 Xerox Corp. (a) 10,144
-------------
|
See Notes to Financial Statements Page 55
First Trust Large Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS--5.8%
206 Anadarko Petroleum Corp. $ 10,368
66 Apache Corp. 5,335
310 Chesapeake Energy Corp. 10,552
159 Chevron Corp. 13,556
171 ConocoPhillips 13,824
58 CONSOL Energy, Inc. 2,416
69 Devon Energy Corp. 5,148
156 El Paso Corp. 2,597
96 Exxon Mobil Corp. 8,172
228 Hess Corp. 13,955
224 Marathon Oil Corp. 12,365
181 Murphy Oil Corp. 11,229
232 Occidental Petroleum Corp. 13,159
111 Peabody Energy Corp. 4,691
168 Sunoco, Inc. 11,209
182 Valero Energy Corp. 12,196
255 Williams (The) Cos., Inc. 8,224
134 XTO Energy, Inc. 7,307
-------------
166,303
-------------
PAPER & FOREST PRODUCTS--0.9%
344 International Paper Co. 12,753
152 MeadWestvaco Corp. 4,946
102 Weyerhaeuser Co. 7,266
-------------
24,965
-------------
PERSONAL PRODUCTS--0.2%
73 Avon Products, Inc. 2,629
59 Estee Lauder (The) Cos., Inc.,
Class A 2,656
-------------
5,285
-------------
PHARMACEUTICALS--1.9%
53 Barr Pharmaceuticals, Inc. (a) 2,715
656 King Pharmaceuticals, Inc. (a) 11,159
420 Pfizer, Inc. 9,874
353 Schering-Plough Corp. 10,075
412 Watson Pharmaceuticals, Inc. (a) 12,532
140 Wyeth 6,793
-------------
53,148
-------------
REAL ESTATE INVESTMENT TRUSTS--0.5%
131 Boston Properties, Inc. 12,378
47 ProLogis 2,674
-------------
15,052
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT--0.4%
294 CB Richard Ellis Group, Inc.,
Class A (a) 10,266
-------------
ROAD & RAIL--1.9%
95 Burlington Northern Santa Fe Corp. 7,803
238 CSX Corp. 11,284
ROAD & RAIL (CONTINUED)
204 Norfolk Southern Corp. $ 10,971
249 Ryder System, Inc. 13,538
93 Union Pacific Corp. 11,080
-------------
54,676
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--4.2%
242 Altera Corp. 5,614
71 Analog Devices, Inc. 2,517
405 Applied Materials, Inc. 8,926
226 Intel Corp. 5,338
146 KLA-Tencor Corp. 8,291
74 Linear Technology Corp. 2,638
1,786 LSI Corp. (a) 12,859
80 Maxim Integrated Products, Inc. 2,536
176 MEMC Electronic Materials, Inc. (a) 10,792
1,071 Micron Technology, Inc. (a) 12,713
95 National Semiconductor Corp. 2,469
473 Novellus Systems, Inc. (a) 13,491
325 NVIDIA Corp. (a) 14,873
694 PMC-Sierra, Inc. (a) 5,288
305 Teradyne, Inc. (a) 4,785
214 Texas Instruments, Inc. 7,531
-------------
120,661
-------------
SOFTWARE--1.1%
228 Autodesk, Inc. (a) 9,659
80 Citrix Systems, Inc. (a) 2,894
226 Compuware Corp. (a) 2,109
91 Microsoft Corp. 2,638
408 Oracle Corp. (a) 7,801
398 Symantec Corp. (a) 7,642
-------------
32,743
-------------
SPECIALTY RETAIL--3.1%
74 Abercrombie & Fitch Co., Class A 5,173
478 AutoNation, Inc. (a) 9,311
59 AutoZone, Inc. (a) 7,482
421 Gap (The), Inc. 7,241
68 Home Depot (The), Inc. 2,528
293 Limited Brands, Inc. 7,076
354 Office Depot, Inc. (a) 8,836
273 OfficeMax, Inc. 8,976
405 RadioShack Corp. 10,178
81 Sherwin-Williams (The) Co. 5,645
253 Tiffany & Co. 12,206
98 TJX (The) Cos., Inc. 2,720
-------------
87,372
-------------
TEXTILES, APPAREL & LUXURY GOODS
--1.2%
113 Coach, Inc. (a) 5,137
184 NIKE, Inc., Class B 10,387
137 Polo Ralph Lauren Corp. 12,240
|
Page 56 See Notes to Financial Statements
First Trust Large Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TEXTILES, APPAREL & LUXURY GOODS
(CONTINUED)
88 VF Corp. $ 7,550
-------------
35,314
-------------
THRIFTS & MORTGAGE FINANCE--0.7%
148 Countrywide Financial Corp. 4,169
44 Freddie Mac 2,520
236 MGIC Investment Corp. 9,124
126 Washington Mutual, Inc. 4,729
-------------
20,542
-------------
TOBACCO--0.4%
38 Altria Group, Inc. 2,526
82 Reynolds American, Inc. 5,015
50 UST, Inc. 2,678
-------------
10,219
-------------
TRADING COMPANIES & DISTRIBUTORS
--0.4%
144 W.W. Grainger, Inc. 12,580
-------------
WIRELESS TELECOMMUNICATION
SERVICES--0.7%
159 ALLTEL Corp. 10,486
518 Sprint Nextel Corp. 10,635
-------------
21,121
-------------
|
TOTAL INVESTMENTS--100.4%
(Cost $3,123,253) 2,878,457
NET OTHER ASSETS AND
LIABILITIES--(0.4%) (10,098)
-------------
NET ASSETS--100.0% $ 2,868,359
=============
|
(a) Non-income producing security.
See Notes to Financial Statements Page 57
First Trust Mid Cap Core AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS--99.4%
AEROSPACE & DEFENSE--1.0%
340 Alliant Techsystems, Inc. (a) $ 33,697
471 DRS Technologies, Inc. 24,662
-------------
58,359
-------------
AIRLINES--0.6%
617 AirTran Holdings, Inc. (a) 6,071
968 Alaska Air Group, Inc. (a) 22,584
574 JetBlue Airways Corp. (a) 5,654
-------------
34,309
-------------
AUTO COMPONENTS--1.3%
157 BorgWarner, Inc. 13,573
1,027 Gentex Corp. 20,273
1,491 Modine Manufacturing Co. 38,169
-------------
72,015
-------------
AUTOMOBILES--0.1%
149 Thor Industries, Inc. 6,112
-------------
BEVERAGES--0.6%
314 Hansen Natural Corp. (a) 12,733
823 PepsiAmericas, Inc. 22,772
-------------
35,505
-------------
BIOTECHNOLOGY--0.7%
335 Cephalon, Inc. (a) 25,172
578 PDL BioPharma, Inc. (a) 13,577
-------------
38,749
-------------
CAPITAL MARKETS--1.4%
80 A.G. Edwards, Inc. 6,469
763 Eaton Vance Corp. 31,939
434 Nuveen Investments, Inc., Class A 26,535
218 Raymond James Financial, Inc. 6,686
259 Waddell & Reed Financial, Inc.,
Class A 6,529
-------------
78,158
-------------
CHEMICALS--3.3%
563 Airgas, Inc. 26,292
175 Albemarle Corp. 7,040
424 Cabot Corp. 17,121
423 Cytec Industries, Inc. 28,336
151 FMC Corp. 13,459
209 Lubrizol (The) Corp. 13,096
201 Minerals Technologies, Inc. 12,999
1,284 Olin Corp. 26,797
1,062 Sensient Technologies Corp. 26,975
474 Valspar (The) Corp. 13,078
-------------
185,193
-------------
COMMERCIAL BANKS--0.9%
206 Associated Banc-Corp. $ 5,920
201 Cathay General Bancorp 6,153
89 City National Corp. 6,300
242 Greater Bay Bancorp 6,505
254 SVB Financial Group (a) 13,381
316 Webster Financial Corp. 13,733
-------------
51,992
-------------
COMMERCIAL SERVICES & SUPPLIES
--2.4%
109 Brink's (The) Co. 6,665
131 Dun & Bradstreet (The) Corp. 12,807
427 Herman Miller, Inc. 13,036
164 HNI Corp. 6,696
982 Kelly Services, Inc., Class A 24,403
1,027 Korn/Ferry International (a) 24,268
1,089 Navigant Consulting, Inc. (a) 17,152
220 Republic Services, Inc. 7,029
455 Stericycle, Inc. (a) 21,813
-------------
133,869
-------------
COMMUNICATIONS EQUIPMENT
--2.4%
260 ADTRAN, Inc. 6,783
232 Avocent Corp. (a) 6,345
577 CommScope, Inc. (a) 31,407
225 Dycom Industries, Inc. (a) 6,289
334 F5 Networks, Inc. (a) 28,954
494 Harris Corp. 27,111
514 Plantronics, Inc. 14,402
401 Polycom, Inc. (a) 12,419
-------------
133,710
-------------
COMPUTERS & PERIPHERALS--1.1%
387 Diebold, Inc. 19,609
731 Imation Corp. 22,866
421 Palm, Inc. (a) 6,281
697 Western Digital Corp. (a) 14,881
-------------
63,637
-------------
CONSTRUCTION & ENGINEERING
--1.8%
525 Granite Construction, Inc. 34,120
586 Jacobs Engineering Group, Inc. (a) 36,115
1,099 Quanta Services, Inc. (a) 31,245
-------------
101,480
-------------
CONSTRUCTION MATERIALS--0.5%
100 Florida Rock Industries, Inc. 6,351
166 Martin Marietta Materials, Inc. 22,742
-------------
29,093
-------------
CONSUMER FINANCE--0.3%
762 AmeriCredit Corp. (a) 15,499
-------------
|
Page 58 See Notes to Financial Statements
First Trust Mid Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONTAINERS & PACKAGING--0.6%
799 Packaging Corp. of America $ 20,391
315 Sonoco Products Co. 11,551
-------------
31,942
-------------
DIVERSIFIED CONSUMER SERVICES
--3.2%
199 Career Education Corp. (a) 5,906
827 Corinthian Colleges, Inc. (a) 11,140
792 DeVry, Inc. 25,661
287 ITT Educational Services, Inc. (a) 30,324
437 Laureate Education, Inc. (a) 26,945
309 Matthews International Corp., Class A 11,822
705 Regis Corp. 24,576
586 Sotheby's 25,052
154 Strayer Education, Inc. 23,336
-------------
184,762
-------------
DIVERSIFIED FINANCIAL SERVICES
--0.1%
191 Leucadia National Corp. 7,182
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES--0.4%
4,664 Cincinnati Bell, Inc. (a) 24,066
-------------
ELECTRIC UTILITIES--3.1%
926 Great Plains Energy, Inc. 25,706
853 Hawaiian Electric Industries, Inc. 19,457
1,052 IDACORP, Inc. 32,570
713 Northeast Utilities 19,493
717 Pepco Holdings, Inc. 19,409
1,919 Sierra Pacific Resources (a) 30,493
1,388 Westar Energy, Inc. 31,952
-------------
179,080
-------------
ELECTRICAL EQUIPMENT--1.4%
679 AMETEK, Inc. 26,495
249 Hubbell, Inc., Class B 14,355
236 Roper Industries, Inc. 14,155
349 Thomas & Betts Corp. (a) 21,568
-------------
76,573
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--3.4%
756 Amphenol Corp., Class A 25,901
877 Arrow Electronics, Inc. (a) 33,520
340 Avnet, Inc. (a) 12,879
397 CDW Corp. (a) 33,415
931 Ingram Micro, Inc., Class A (a) 18,667
1,912 KEMET Corp. (a) 13,460
621 National Instruments Corp. 20,089
2,130 Vishay Intertechnology, Inc. (a) 33,036
-------------
190,967
-------------
ENERGY EQUIPMENT & SERVICES--4.0%
471 Cameron International Corp. (a) $ 36,737
340 FMC Technologies, Inc. (a) 31,117
376 Grant Prideco, Inc. (a) 21,094
565 Hanover Compressor Co. (a) 13,464
951 Helmerich & Payne, Inc. 30,784
514 Patterson-UTI Energy, Inc. 11,771
720 Pride International, Inc. (a) 25,236
675 Superior Energy Services, Inc. (a) 27,216
475 Tidewater, Inc. 32,499
-------------
229,918
-------------
FOOD & STAPLES RETAILING--0.7%
374 BJ's Wholesale Club, Inc. (a) 12,701
895 Ruddick Corp. 24,881
-------------
37,582
-------------
FOOD PRODUCTS--1.2%
541 Hormel Foods Corp. 18,621
212 J.M. Smucker (The) Co. 11,832
322 Lancaster Colony Corp. 12,468
657 Smithfield Foods, Inc. (a) 20,406
243 Tootsie Roll Industries, Inc. 6,082
-------------
69,409
-------------
GAS UTILITIES--1.2%
499 AGL Resources, Inc. 18,812
136 Equitable Resources, Inc. 6,407
156 National Fuel Gas Co. 6,763
267 ONEOK, Inc. 13,550
826 WGL Holdings, Inc. 24,731
-------------
70,263
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--2.5%
193 Advanced Medical Optics, Inc. (a) 5,834
104 Beckman Coulter, Inc. 7,365
782 Cytyc Corp. (a) 32,923
528 DENTSPLY International, Inc. 19,267
112 Gen-Probe, Inc. (a) 7,057
207 Hillenbrand Industries, Inc. 13,049
194 Intuitive Surgical, Inc. (a) 41,247
661 STERIS Corp. 18,078
-------------
144,820
-------------
HEALTH CARE PROVIDERS & SERVICES
--3.4%
234 Apria Healthcare Group, Inc. (a) 6,135
666 Community Health Systems, Inc. (a) 25,907
255 Health Net, Inc. (a) 12,633
252 Henry Schein, Inc. (a) 13,694
1,097 Kindred Healthcare, Inc. (a) 29,378
697 LifePoint Hospitals, Inc. (a) 20,596
169 Lincare Holdings, Inc. (a) 6,032
187 Omnicare, Inc. 6,201
|
See Notes to Financial Statements Page 59
First Trust Mid Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS & SERVICES
(CONTINUED)
186 Psychiatric Solutions, Inc. (a) $ 6,341
329 Universal Health Services, Inc.,
Class B 17,253
358 VCA Antech, Inc. (a) 14,084
372 WellCare Health Plans, Inc. (a) 37,668
-------------
195,922
-------------
HEALTH CARE TECHNOLOGY--0.4%
364 Cerner Corp. (a) 19,245
-------------
HOTELS, RESTAURANTS & LEISURE
--0.6%
732 Bob Evans Farms, Inc. 23,754
159 CBRL Group, Inc. 6,110
193 Scientific Games Corp., Class A (a) 6,622
-------------
36,486
-------------
HOUSEHOLD DURABLES--2.0%
238 American Greetings Corp., Class A 5,886
1,092 Beazer Homes USA, Inc. 15,277
1,014 Blyth, Inc. 22,633
1,423 Furniture Brands International, Inc. 15,681
334 Mohawk Industries, Inc. (a) 30,064
30 NVR, Inc. (a) 17,354
234 Tupperware Brands Corp. 6,086
-------------
112,981
-------------
HOUSEHOLD PRODUCTS--0.8%
278 Church & Dwight Co., Inc. 13,639
338 Energizer Holdings, Inc. (a) 34,104
-------------
47,743
-------------
INDUSTRIAL CONGLOMERATES--1.4%
435 Carlisle Cos., Inc. 19,697
181 Sequa Corp., Class A (a) 29,883
412 Teleflex, Inc. 31,489
-------------
81,069
-------------
INSURANCE--4.6%
789 American Financial Group, Inc. 22,163
970 Commerce Group (The), Inc. 27,868
62 Everest Re Group Ltd. 6,092
1,422 Fidelity National Financial, Inc.,
Class A 29,707
545 First American Corp. 25,228
414 Hanover Insurance Group, Inc. 18,170
605 HCC Insurance Holdings, Inc. 17,714
952 Horace Mann Educators Corp. 16,974
367 Mercury General Corp. 19,003
467 Ohio Casualty Corp. 20,272
1,268 Old Republic International Corp. 23,280
282 Protective Life Corp. 12,132
128 StanCorp Financial Group, Inc. 6,011
INSURANCE (CONTINUED)
411 Unitrin, Inc. $ 17,418
-------------
262,032
-------------
INTERNET & CATALOG RETAIL--0.5%
1,738 Netflix, Inc. (a) 29,946
-------------
INTERNET SOFTWARE & SERVICES--0.4%
1,144 ValueClick, Inc. (a) 24,459
-------------
IT SERVICES--2.0%
255 Acxiom Corp. 6,416
436 Alliance Data Systems Corp. (a) 33,485
385 Ceridian Corp. (a) 13,052
335 CheckFree Corp. (a) 12,341
85 DST Systems, Inc. (a) 6,449
822 Gartner, Inc. (a) 17,204
2,016 MPS Group, Inc. (a) 26,873
-------------
115,820
-------------
LEISURE EQUIPMENT & PRODUCTS
--0.1%
378 Callaway Golf Co. 6,135
-------------
LIFE SCIENCES TOOLS & SERVICES
--1.9%
392 Charles River Laboratories
International, Inc. (a) 20,063
197 Covance, Inc. (a) 13,902
183 Invitrogen Corp. (a) 13,139
352 Pharmaceutical Product
Development, Inc. 11,792
246 Varian, Inc. (a) 14,794
436 Ventana Medical Systems, Inc. (a) 36,337
-------------
110,027
-------------
MACHINERY--5.0%
445 Crane Co. 20,408
850 Federal Signal Corp. 11,433
471 Flowserve Corp. 34,039
259 Harsco Corp. 13,639
347 Joy Global, Inc. 17,173
411 Kennametal, Inc. 31,507
454 Lincoln Electric Holdings, Inc. 32,683
269 Nordson Corp. 12,309
536 Oshkosh Truck Corp. 30,686
349 Pentair, Inc. 12,634
384 SPX Corp. 36,046
373 Timken (The) Co. 12,458
464 Trinity Industries, Inc. 17,739
-------------
282,754
-------------
MARINE--0.2%
254 Alexander & Baldwin, Inc. 13,772
-------------
|
Page 60 See Notes to Financial Statements
First Trust Mid Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA--2.5%
1,309 Belo Corp., Class A $ 23,431
558 John Wiley & Sons, Inc., Class A 23,598
1,615 Lee Enterprises, Inc. 28,440
1,013 Media General, Inc., Class A 28,567
563 Scholastic Corp. (a) 18,117
26 Washington Post (The) Co., Class B 20,560
-------------
142,713
-------------
METALS & MINING--2.5%
155 Carpenter Technology Corp. 18,397
998 Commercial Metals Co. 30,778
599 Reliance Steel & Aluminum Co. 31,471
643 Steel Dynamics, Inc. 26,961
1,556 Worthington Industries, Inc. 32,210
-------------
139,817
-------------
MULTILINE RETAIL--0.6%
514 99 Cents Only Stores (a) 6,255
774 Dollar Tree Stores, Inc. (a) 29,614
-------------
35,869
-------------
MULTI-UTILITIES--4.8%
867 Alliant Energy Corp. 32,036
678 Black Hills Corp. 25,289
1,033 Energy East Corp. 26,145
961 MDU Resources Group, Inc. 26,197
623 NSTAR 19,593
552 OGE Energy Corp. 18,299
970 PNM Resources, Inc. 25,055
1,394 Puget Energy, Inc. 32,271
704 SCANA Corp. 26,316
1,001 Vectren Corp. 24,995
457 Wisconsin Energy Corp. 19,619
-------------
275,815
-------------
OIL, GAS & CONSUMABLE FUELS
--4.8%
387 Arch Coal, Inc. 11,567
855 Cimarex Energy Co. 32,363
539 Denbury Resources, Inc. (a) 21,560
727 Encore Acquisition Co. (a) 18,807
797 Forest Oil Corp. (a) 32,255
770 Frontier Oil Corp. 29,822
432 Noble Energy 26,412
414 Overseas Shipholding Group, Inc. 32,122
138 Pioneer Natural Resources Co. 6,279
705 Plains Exploration & Production
Co. (a) 30,463
302 Quicksilver Resources, Inc. (a) 12,720
454 Southwestern Energy Co. (a) 18,446
-------------
272,816
-------------
PAPER & FOREST PRODUCTS--0.5%
540 Bowater, Inc. $ 10,595
992 Glatfelter 13,322
356 Louisiana-Pacific Corp. 6,593
-------------
30,510
-------------
PERSONAL PRODUCTS--0.5%
852 Alberto-Culver Co. 20,039
156 NBTY, Inc. (a) 6,792
-------------
26,831
-------------
PHARMACEUTICALS--0.5%
197 Endo Pharmaceuticals Holdings,
Inc. (a) 6,700
716 Par Pharmaceutical Cos., Inc. (a) 16,962
344 Perrigo Co. 6,416
-------------
30,078
-------------
REAL ESTATE INVESTMENT TRUSTS
--1.0%
697 Cousins Properties, Inc. 17,920
162 Hospitality Properties Trust 6,214
313 Potlatch Corp. 13,675
448 Rayonier, Inc. 18,968
-------------
56,777
-------------
ROAD & RAIL--2.4%
948 Avis Budget Group, Inc. (a) 24,335
671 Con-way, Inc. 33,140
690 J.B. Hunt Transport Services, Inc. 19,272
1,672 Werner Enterprises, Inc. 32,504
916 YRC Worldwide, Inc. (a) 29,422
-------------
138,673
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--3.2%
261 Cree, Inc. (a) 6,687
1,447 Cypress Semiconductor Corp. (a) 36,262
349 Fairchild Semiconductor
International, Inc. (a) 6,369
362 International Rectifier Corp. (a) 13,289
214 Intersil Corp., Class A 6,260
524 Lam Research Corp. (a) 30,308
1,060 Micrel, Inc. 10,971
182 Microchip Technology, Inc. 6,608
5,400 RF Micro Devices, Inc. (a) 37,476
778 Semtech Corp. (a) 12,643
3,996 TriQuint Semiconductor, Inc. (a) 17,662
-------------
184,535
-------------
SOFTWARE--2.7%
621 Advent Software, Inc. (a) 23,617
614 Cadence Design Systems, Inc. (a) 13,140
785 Jack Henry & Associates, Inc. 18,856
673 Macrovision Corp. (a) 16,004
|
See Notes to Financial Statements Page 61
First Trust Mid Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
766 McAfee, Inc. (a) $ 27,468
512 Mentor Graphics Corp. (a) 6,149
1,247 Parametric Technology Corp. (a) 21,985
564 Sybase, Inc. (a) 13,378
255 Synopsys, Inc. (a) 6,237
613 Wind River Systems, Inc. (a) 5,860
-------------
152,694
-------------
SPECIALTY RETAIL--5.6%
499 Advance Auto Parts, Inc. 17,350
647 Aeropostale, Inc. (a) 24,638
761 AnnTaylor Stores Corp. (a) 23,911
701 Barnes & Noble, Inc. 23,519
793 CarMax, Inc. (a) 18,976
3,111 Charming Shoppes, Inc. (a) 30,737
290 Coldwater Creek, Inc. (a) 5,710
463 Dick's Sporting Goods, Inc. (a) 26,034
1,546 Foot Locker, Inc. 28,694
862 GameStop Corp., Class A (a) 34,781
369 O'Reilly Automotive, Inc. (a) 12,291
613 Pacific Sunwear of California, Inc. (a) 11,046
641 Payless ShoeSource, Inc. (a) 17,063
415 PetSmart, Inc. 13,417
1,028 Rent-A-Center, Inc. (a) 19,953
219 Ross Stores, Inc. 6,336
280 Urban Outfitters, Inc. (a) 5,617
-------------
320,073
-------------
TEXTILES, APPAREL & LUXURY
GOODS--0.5%
249 Hanesbrands, Inc. (a) 7,721
445 Phillips-Van Heusen Corp. 23,167
-------------
30,888
-------------
THRIFTS & MORTGAGE FINANCE
--1.8%
269 Astoria Financial Corp. 6,335
1,543 First Niagara Financial Group, Inc. 19,843
1,155 IndyMac Bancorp, Inc. 25,410
754 PMI Group (The), Inc. 25,689
624 Radian Group, Inc. 21,035
277 Washington Federal, Inc. 6,241
-------------
104,553
-------------
TRADING COMPANIES &
DISTRIBUTORS--1.5%
322 Fastenal Co. 14,513
274 GATX Corp. 12,429
490 MSC Industrial Direct Co., Inc., Class A 24,642
1,036 United Rentals, Inc. (a) 33,296
-------------
84,880
-------------
WIRELESS TELECOMMUNICATION
SERVICES--0.5%
431 Telephone and Data Systems, Inc. $ 28,618
-------------
TOTAL INVESTMENTS--99.4%
(Cost $6,133,306) 5,678,775
NET OTHER ASSETS AND
LIABILITIES--0.6% 36,670
-------------
NET ASSETS--100.0% $ 5,715,445
=============
(a) Non-income producing security.
Page 62 See Notes to Financial Statements
|
First Trust Small Cap Core AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS--99.6%
AEROSPACE & DEFENSE--3.1%
408 AAR Corp. (a) $ 12,171
304 Ceradyne, Inc. (a) 22,688
595 Cubic Corp. 16,380
386 Curtiss-Wright Corp. 16,818
683 EDO Corp. 22,573
465 Esterline Technologies Corp. (a) 21,525
306 Moog, Inc., Class A (a) 13,103
488 Teledyne Technologies, Inc. (a) 21,653
343 Triumph Group, Inc. 26,139
-------------
173,050
-------------
AIR FREIGHT & LOGISTICS--0.5%
264 Forward Air Corp. 8,994
638 Hub Group, Inc., Class A (a) 21,705
-------------
30,699
-------------
AIRLINES--0.8%
1,603 Frontier Airlines Holdings, Inc. (a) 8,496
2,717 Mesa Air Group, Inc. (a) 18,068
942 SkyWest, Inc. 21,016
-------------
47,580
-------------
AUTO COMPONENTS--0.8%
406 Drew Industries, Inc. (a) 14,121
1,494 Standard Motor Products, Inc. 18,599
619 Superior Industries International, Inc. 11,452
-------------
44,172
-------------
AUTOMOBILES--0.1%
313 Monaco Coach Corp. 4,366
-------------
BIOTECHNOLOGY--0.5%
299 Digene Corp. (a) 18,313
346 Martek Biosciences Corp. (a) 8,865
-------------
27,178
-------------
BUILDING PRODUCTS--1.2%
162 Apogee Enterprises, Inc. 4,173
608 Gibraltar Industries, Inc. 11,740
618 Griffon Corp. (a) 10,858
394 Lennox International, Inc. 15,091
273 NCI Building Systems, Inc. (a) 13,202
134 Simpson Manufacturing Co., Inc. 4,533
212 Universal Forest Products, Inc. 8,387
-------------
67,984
-------------
CAPITAL MARKETS--0.6%
208 Investment Technology Group, Inc. (a) 8,312
608 LaBranche & Co., Inc. (a) 3,934
162 Piper Jaffray Cos., Inc. (a) 7,763
831 SWS Group, Inc. 14,667
-------------
34,676
-------------
CHEMICALS--2.7%
369 A. Schulman, Inc. $ 8,568
128 Arch Chemicals, Inc. 4,529
744 Georgia Gulf Corp. 12,045
300 H.B. Fuller Co. 8,289
1,905 Material Sciences Corp. (a) 20,955
170 OM Group, Inc. (a) 8,235
823 Penford Corp. 29,406
2,498 PolyOne Corp. (a) 18,785
951 Quaker Chemical Corp. 20,656
1,598 Tronox, Inc., Class B 19,655
-------------
151,123
-------------
COMMERCIAL BANKS--2.4%
72 Alabama National BanCorporation 3,843
502 Boston Private Financial Holdings,
Inc. 12,795
408 Central Pacific Financial Corp. 11,509
257 Chittenden Corp. 8,597
897 Community Bank System, Inc. 16,136
116 East West Bancorp, Inc. 4,253
822 First Commonwealth Financial Corp. 7,793
168 First Republic Bank 9,198
526 Hanmi Financial Corp. 7,627
138 Prosperity Bancshares, Inc. 3,908
274 Provident Bankshares Corp. 7,864
132 Signature Bank (a) 4,077
198 South Financial Group (The), Inc. 4,269
310 Sterling Financial Corp. 7,040
602 Susquehanna Bancshares, Inc. 10,415
382 Umpqua Holdings Corp. 7,266
150 Whitney Holding Corp. 3,749
102 Wintrust Financial Corp. 4,020
-------------
134,359
-------------
COMMERCIAL SERVICES & SUPPLIES
--5.2%
870 ABM Industries, Inc. 21,889
134 Administaff, Inc. 4,382
1,065 Angelica Corp. 23,248
921 Bowne & Co., Inc. 15,970
484 Brady Corp., Class A 16,935
140 CDI Corp. 3,961
260 Consolidated Graphics, Inc. (a) 17,137
568 G&K Services, Inc., Class A 21,164
456 Healthcare Services Group 12,640
350 Heidrick & Struggles International,
Inc. (a) 18,809
476 Interface, Inc., Class A 8,773
972 Labor Ready, Inc. (a) 22,899
308 Mobile Mini, Inc. (a) 8,800
419 On Assignment, Inc. (a) 4,203
254 School Specialty, Inc. (a) 8,748
1,913 Spherion Corp. (a) 16,892
416 Tetra Tech, Inc. (a) 8,748
270 United Stationers, Inc. (a) 17,210
|
See Notes to Financial Statements Page 63
First Trust Small Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES & SUPPLIES
(CONTINUED)
426 Viad Corp. $ 15,315
730 Volt Information Sciences, Inc. (a) 11,373
356 Watson Wyatt Worldwide, Inc.,
Class A 15,860
-------------
294,956
-------------
COMMUNICATIONS EQUIPMENT
--2.4%
1,277 Arris Group, Inc. (a) 18,926
396 Bel Fuse, Inc., Class B 11,975
434 Black Box Corp. 17,469
182 Blue Coat Systems, Inc. (a) 8,869
958 C-COR, Inc. (a) 12,885
290 Comtech Telecommunications
Corp. (a) 12,606
914 Digi International, Inc. (a) 13,052
548 Ditech Networks, Inc. (a) 4,088
620 NETGEAR, Inc. (a) 17,149
534 Symmetricom, Inc. (a) 3,984
426 Tollgrade Communications, Inc. (a) 4,396
280 ViaSat, Inc. (a) 8,016
-------------
133,415
-------------
COMPUTERS & PERIPHERALS--1.8%
3,536 Adaptec, Inc. (a) 12,376
1,194 Hutchinson Technology, Inc. (a) 23,952
212 Intevac, Inc. (a) 3,445
422 Komag, Inc. (a) 13,508
863 Novatel Wireless, Inc. (a) 18,580
382 Stratasys, Inc. (a) 16,812
376 Synaptics, Inc. (a) 13,205
-------------
101,878
-------------
CONSTRUCTION & ENGINEERING
--0.3%
152 EMCOR Group, Inc. (a) 5,457
278 URS Corp. (a) 13,694
-------------
19,151
-------------
CONSTRUCTION MATERIALS--0.2%
172 Texas Industries, Inc. 13,555
-------------
CONSUMER FINANCE--0.6%
340 Cash America International, Inc. 12,451
575 First Cash Financial Services,
Inc. (a) 12,529
210 World Acceptance Corp. (a) 6,760
-------------
31,740
-------------
CONTAINERS & PACKAGING--1.0%
505 AptarGroup, Inc. 18,382
1,072 Chesapeake Corp. (a) 11,953
203 Myers Industries, Inc. 4,342
CONTAINERS & PACKAGING
(CONTINUED)
708 Rock-Tenn Co., Class A $ 21,750
-------------
56,427
-------------
DISTRIBUTORS--1.2%
346 Audiovox Corp., Class A (a) 3,502
1,266 Building Materials Holding Corp. 17,585
543 Keystone Automotive Industries,
Inc. (a) 25,390
728 LKQ Corp. (a) 20,697
-------------
67,174
-------------
DIVERSIFIED CONSUMER SERVICES
--0.9%
230 Bright Horizons Family Solutions,
Inc. (a) 8,924
64 CPI Corp. 3,759
280 Pre-Paid Legal Services, Inc. (a) 14,756
354 Universal Technical Institute,
Inc. (a) 7,657
368 Vertrue, Inc. (a) 18,183
-------------
53,279
-------------
DIVERSIFIED FINANCIAL SERVICES
--0.4%
150 Financial Federal Corp. 4,253
374 Portfolio Recovery Associates,
Inc. (a) 19,541
-------------
23,794
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES--0.3%
589 CT Communications, Inc. 18,053
-------------
ELECTRIC UTILITIES--1.8%
190 ALLETE, Inc. 8,330
596 Central Vermont Public Service
Corp. 20,264
733 Cleco Corp. 17,409
914 El Paso Electric Co. (a) 21,268
542 UIL Holdings Corp. 16,032
683 Unisource Energy Corp. 20,784
-------------
104,087
-------------
ELECTRICAL EQUIPMENT--1.5%
298 Acuity Brands, Inc. 17,612
338 A.O. Smith Corp. 16,410
92 Baldor Electric Co. 4,199
82 Belden, Inc. 4,492
386 Regal-Beloit Corp. 19,578
418 Woodward Governor Co. 24,139
-------------
86,430
-------------
|
Page 64 See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRONIC EQUIPMENT &
INSTRUMENTS--5.4%
634 Aeroflex, Inc. (a) $ 8,895
399 Agilysys, Inc. 7,665
238 Anixter International, Inc. (a) 19,671
1,377 Bell Microproducts, Inc. (a) 8,648
596 Benchmark Electronics, Inc. (a) 13,231
356 Checkpoint Systems, Inc. (a) 8,213
294 Coherent, Inc. (a) 8,511
1,064 CTS Corp. 13,555
216 Electro Scientific Industries, Inc. (a) 4,741
388 FLIR Systems, Inc. (a) 16,936
386 Gerber Scientific, Inc. (a) 4,007
597 Insight Enterprises, Inc. (a) 13,468
116 Itron, Inc. (a) 9,214
806 LoJack Corp. (a) 17,184
1,148 Methode Electronics, Inc. 18,563
302 MTS Systems Corp. 12,609
870 Newport Corp. (a) 11,371
478 Park Electrochemical Corp. 14,173
196 Plexus Corp. (a) 4,753
122 Rogers Corp. (a) 4,409
702 ScanSource, Inc. (a) 18,835
783 Technitrol, Inc. 20,358
558 Trimble Navigation Ltd. (a) 18,431
1,727 TTM Technologies, Inc. (a) 22,519
608 X-Rite, Inc. (a) 8,208
-------------
308,168
-------------
ENERGY EQUIPMENT & SERVICES--4.2%
328 Atwood Oceanics, Inc. (a) 22,501
453 Bristow Group, Inc. (a) 21,486
205 CARBO Ceramics, Inc. 9,241
300 Dril-Quip, Inc. (a) 14,397
464 Hornbeck Offshore Services, Inc. (a) 19,975
863 Input/Output, Inc. (a) 12,298
278 Lufkin Industries, Inc. 16,460
904 Matrix Service Co. (a) 20,873
426 Oceaneering International, Inc. (a) 23,925
240 SEACOR Holdings, Inc. (a) 20,933
637 TETRA Technologies, Inc. (a) 17,715
286 Unit Corp. (a) 15,747
362 W-H Energy Services, Inc. (a) 23,197
-------------
238,748
-------------
FOOD & STAPLES RETAILING--1.0%
330 Casey's General Stores, Inc. 8,227
536 Great Atlantic & Pacific Tea
(The) Co., Inc. (a) 15,624
171 Longs Drug Stores Corp. 8,270
182 Nash Finch Co. 7,329
276 Performance Food Group Co. (a) 7,910
273 Spartan Stores, Inc. 7,991
-------------
55,351
-------------
FOOD PRODUCTS--1.4%
396 Corn Products International, Inc. $ 17,670
134 Flowers Foods, Inc. 2,747
166 Hain Celestial Group (The), Inc. (a) 4,497
238 J & J Snack Foods Corp. 8,199
168 Ralcorp Holdings, Inc. (a) 8,729
499 Sanderson Farms, Inc. 19,895
675 TreeHouse Foods, Inc. (a) 15,127
-------------
76,864
-------------
GAS UTILITIES--3.0%
747 Atmos Energy Corp. 20,967
327 Energen Corp. 17,302
422 Laclede Group (The), Inc. 12,470
264 New Jersey Resources Corp. 12,408
486 Northwest Natural Gas Co. 20,252
546 Piedmont Natural Gas Co. 12,662
508 South Jersey Industries, Inc. 16,647
551 Southern Union Co. 17,015
664 Southwest Gas Corp. 20,637
658 UGI Corp. 16,983
-------------
167,343
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--3.7%
62 Analogic Corp. 4,116
306 ArthroCare Corp. (a) 15,490
306 CONMED Corp. (a) 8,537
352 Datascope Corp. 12,112
108 DJO, Inc. (a) 5,128
278 Greatbatch, Inc. (a) 8,626
170 Haemonetics Corp. (a) 8,401
162 Hologic, Inc. (a) 8,392
210 ICU Medical, Inc. (a) 6,980
142 IDEXX Laboratories, Inc. (a) 14,237
160 Immucor, Inc. (a) 4,986
272 Integra LifeSciences Holdings (a) 13,505
622 Meridian Bioscience, Inc. 13,889
2,495 Osteotech, Inc. (a) 17,889
330 PolyMedica Corp. 13,329
210 Respironics, Inc. (a) 9,608
270 SurModics, Inc. (a) 12,385
280 Symmetry Medical, Inc. (a) 4,180
5,385 Theragenics Corp. (a) 21,271
80 Vital Signs, Inc. 4,161
-------------
207,222
-------------
HEALTH CARE PROVIDERS &
SERVICES--3.9%
494 Amedisys, Inc. (a) 18,698
378 AMERIGROUP Corp. (a) 10,463
408 AMN Healthcare Services, Inc. (a) 8,760
186 AmSurg Corp. (a) 4,676
420 Centene Corp. (a) 9,076
1,035 CryoLife, Inc. (a) 9,884
672 Gentiva Health Services, Inc. (a) 13,420
|
See Notes to Financial Statements Page 65
First Trust Small Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS &
SERVICES (CONTINUED)
759 HealthExtras, Inc. (a) $ 20,364
190 Healthways, Inc. (a) 8,303
246 inVentiv Health, Inc. (a) 8,728
475 LCA-Vision, Inc. 16,867
445 Matria Healthcare, Inc. (a) 11,494
1,458 Option Care, Inc. 28,271
128 Owens & Minor, Inc. 4,922
82 Pediatrix Medical Group, Inc. (a) 4,425
1,261 RehabCare Group, Inc. (a) 17,868
637 Res-Care, Inc. (a) 12,377
324 Sierra Health Services, Inc. (a) 13,167
-------------
221,763
-------------
HOTELS, RESTAURANTS & LEISURE
--2.7%
418 California Pizza Kitchen, Inc. (a) 7,934
224 CKE Restaurants, Inc. 3,873
190 Jack in the Box, Inc. (a) 12,158
594 Landry's Restaurants, Inc. 15,735
378 Marcus (The) Corp. 7,439
168 Monarch Casino & Resort, Inc. (a) 4,753
1,114 O'Charley's, Inc. 19,751
312 Papa John's International, Inc. (a) 8,558
160 Pinnacle Entertainment, Inc. (a) 4,242
336 RARE Hospitality International,
Inc. (a) 8,991
445 Red Robin Gourmet Burgers, Inc. (a) 17,164
528 Ruth's Chris Steak House, Inc. (a) 8,828
1,345 Steak n Shake (The) Co. (a) 20,175
351 Texas Roadhouse, Inc., Class A (a) 4,166
467 WMS Industries, Inc. (a) 12,184
-------------
155,951
-------------
HOUSEHOLD DURABLES--0.8%
914 Champion Enterprises, Inc. (a) 10,712
132 Ethan Allen Interiors, Inc. 4,509
208 Libbey, Inc. 4,150
338 M/I Homes, Inc. 8,298
216 National Presto Industries, Inc. 12,128
241 Russ Berrie and Co., Inc. (a) 3,709
-------------
43,506
-------------
HOUSEHOLD PRODUCTS--0.2%
766 Central Garden & Pet Co., Class A (a) 9,376
136 WD-40 Co. 4,514
-------------
13,890
-------------
INDUSTRIAL CONGLOMERATES--0.5%
316 Standex International Corp. 7,489
1,054 Tredegar Corp. 19,352
-------------
26,841
-------------
INSURANCE--3.5%
322 Delphi Financial Group, Inc.,
Class A $ 12,935
88 Infinity Property & Casualty Corp. 3,876
232 LandAmerica Financial Group, Inc. 17,769
108 Philadelphia Consolidated Holding
Corp. (a) 3,903
685 Presidential Life Corp. 11,172
322 ProAssurance Corp. (a) 15,900
402 RLI Corp. 23,317
434 Safety Insurance Group, Inc. 14,452
718 SCPIE Holdings, Inc. (a) 16,133
668 Selective Insurance Group, Inc. 13,707
564 Stewart Information Services Corp. 20,575
140 Tower Group, Inc. 3,710
634 United Fire & Casualty Co. 21,822
477 Zenith National Insurance Corp. 19,252
-------------
198,523
-------------
INTERNET & CATALOG RETAIL--0.8%
372 Blue Nile, Inc. (a) 28,127
1,049 PetMed Express, Inc. (a) 15,294
-------------
43,421
-------------
INTERNET SOFTWARE & SERVICES
--0.8%
375 Bankrate, Inc. (a) 16,819
194 InfoSpace, Inc. 4,039
514 j2 Global Communications, Inc. (a) 16,777
544 United Online, Inc. 7,681
-------------
45,316
-------------
IT SERVICES--1.6%
502 Authorize.Net Holdings, Inc. (a) 8,700
92 CACI International Inc., Class A (a) 4,088
2,745 CIBER, Inc. (a) 20,835
254 eFunds Corp. (a) 9,081
146 ManTech International Corp.,
Class A (a) 4,768
104 MAXIMUS, Inc. 4,346
408 SI International, Inc. (a) 11,885
1,249 StarTek, Inc. (a) 13,689
946 Sykes Enterprises, Inc. (a) 15,836
-------------
93,228
-------------
LEISURE EQUIPMENT & PRODUCTS
--1.9%
907 Arctic Cat, Inc. 16,435
798 JAKKS Pacific, Inc. (a) 18,921
1,478 K2, Inc. (a) 21,593
673 MarineMax, Inc. (a) 12,585
248 Polaris Industries, Inc. 12,241
460 Pool Corp. 15,461
224 RC2 Corp. (a) 7,932
-------------
105,168
-------------
|
Page 66 See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES
--0.9%
126 Dionex Corp. (a) $ 8,569
366 Kendle International, Inc. (a) 13,524
534 PAREXEL International Corp. (a) 21,590
282 Pharmanet Development Group,
Inc. (a) 7,896
-------------
51,579
-------------
MACHINERY--5.0%
111 Albany International Corp.,
Class A 4,160
426 Astec Industries, Inc. (a) 22,224
260 A.S.V., Inc. (a) 3,793
426 Barnes Group, Inc. 13,291
286 Cascade Corp. 19,388
240 CLARCOR, Inc. 8,350
210 EnPro Industries, Inc. (a) 8,270
528 Gardner Denver, Inc. (a) 21,960
466 IDEX Corp. 16,874
258 Kaydon Corp. 13,728
507 Lindsay Corp. 20,615
1,537 Lydall, Inc. (a) 17,752
280 Manitowoc (The) Co., Inc. 21,748
522 Mueller Industries, Inc. 19,251
254 Robbins & Myers, Inc. 13,393
305 Toro (The) Co. 17,147
247 Valmont Industries, Inc. 18,671
307 Wabash National Corp. 3,902
480 Watts Water Technologies, Inc.,
Class A 16,757
-------------
281,274
-------------
MARINE--0.3%
351 Kirby Corp. (a) 14,219
-------------
MEDIA--0.2%
174 Arbitron, Inc. 8,665
-------------
METALS & MINING--2.4%
375 A.M. Castle & Co. 12,383
164 AMCOL International Corp. 4,695
535 Brush Engineered Materials, Inc. (a) 20,260
246 Century Aluminum Co. (a) 12,679
312 Chaparral Steel Co. 26,221
289 Cleveland-Cliffs, Inc. 20,019
369 Quanex Corp. 16,627
60 RTI International Metals, Inc. (a) 4,754
596 Ryerson, Inc. 19,126
-------------
136,764
-------------
MULTILINE RETAIL--0.4%
1,343 Fred's, Inc. 15,942
364 Tuesday Morning Corp. 4,244
-------------
20,186
-------------
MULTI-UTILITIES--0.6%
834 Avista Corp. $ 16,530
400 CH Energy Group, Inc. 17,740
-------------
34,270
-------------
OIL, GAS & CONSUMABLE FUELS
--0.7%
122 Cabot Oil & Gas Corp. 4,172
450 Helix Energy Solutions Group,
Inc. (a) 17,529
210 Swift Energy Co. (a) 8,975
214 World Fuel Services Corp. 8,750
-------------
39,426
-------------
PAPER & FOREST PRODUCTS--1.4%
1,451 Buckeye Technologies, Inc. (a) 22,244
436 Neenah Paper, Inc. 16,886
4,525 Pope & Talbot, Inc. (a) 11,901
724 Schweitzer-Mauduit International,
Inc. 16,529
1,005 Wausau Paper Corp. 11,246
-------------
78,806
-------------
PERSONAL PRODUCTS--0.3%
142 Chattem, Inc. (a) 7,974
565 Mannatech, Inc. 5,317
100 USANA Health Sciences, Inc. (a) 4,036
-------------
17,327
-------------
PHARMACEUTICALS--0.7%
346 Alpharma, Inc., Class A (a) 8,577
206 Bradley Pharmaceuticals, Inc. (a) 3,304
192 Noven Pharmaceuticals, Inc. (a) 3,410
190 Sciele Pharma, Inc. (a) 4,406
1,627 ViroPharma, Inc. (a) 20,908
-------------
40,605
-------------
REAL ESTATE INVESTMENT TRUSTS
--0.8%
250 Entertainment Properties Trust 11,138
592 LTC Properties, Inc. 11,881
679 Medical Properties Trust, Inc. 7,605
411 National Retail Properties, Inc. 8,902
442 Senior Housing Properties Trust 7,638
-------------
47,164
-------------
ROAD & RAIL--1.4%
346 Arkansas Best Corp. 12,466
276 Heartland Express, Inc. 4,115
598 Kansas City Southern (a) 20,637
695 Knight Transportation, Inc. 12,260
280 Landstar System, Inc. 12,729
596 Old Dominion Freight Line, Inc. (a) 17,201
-------------
79,408
-------------
|
See Notes to Financial Statements Page 67
First Trust Small Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--4.1%
991 Advanced Energy Industries,
Inc. (a) $ 17,551
1,076 AMIS Holdings, Inc. (a) 11,094
150 ATMI, Inc. (a) 4,347
3,460 Axcelis Technologies, Inc. (a) 19,203
1,237 Brooks Automation, Inc. (a) 21,733
126 Cabot Microelectronics Corp. (a) 5,371
404 Cohu, Inc. 8,076
112 Cymer, Inc. (a) 4,788
645 Diodes, Inc. (a) 17,138
335 Exar Corp. (a) 4,734
138 FEI Co. (a) 3,958
188 Microsemi Corp. (a) 4,382
811 MKS Instruments, Inc. (a) 18,410
1,207 Pericom Semiconductor Corp. (a) 12,891
1,509 Photronics, Inc. (a) 21,156
1,352 Rudolph Technologies, Inc. (a) 21,158
611 Skyworks Solutions, Inc. (a) 4,839
392 Standard Microsystems Corp. (a) 13,089
448 Varian Semiconductor Equipment
Associates, Inc. (a) 21,056
-------------
234,974
-------------
SOFTWARE--2.9%
152 Ansoft Corp. (a) 3,844
339 ANSYS, Inc. (a) 8,828
2,631 Captaris, Inc. (a) 13,497
983 Concur Technologies, Inc. (a) 23,455
906 Epicor Software Corp. (a) 11,832
1,389 EPIQ Systems, Inc. (a) 23,683
197 FactSet Research Systems, Inc. 13,000
608 Informatica Corp. (a) 8,476
915 JDA Software Group, Inc. (a) 20,688
160 Manhattan Associates, Inc. (a) 4,459
82 MICROS Systems, Inc. (a) 4,369
118 Quality Systems, Inc. 4,571
339 Radiant Systems, Inc. (a) 4,712
306 SPSS, Inc. (a) 12,558
148 THQ, Inc. (a) 4,256
-------------
162,228
-------------
SPECIALTY RETAIL--5.7%
615 Aaron Rents, Inc. 14,219
352 Big 5 Sporting Goods Corp. 7,522
554 Brown Shoe Co., Inc. 11,601
204 Cato (The) Corp., Class A 4,219
502 Charlotte Russe Holding, Inc. (a) 8,921
174 Children's Place Retail Stores
(The), Inc. (a) 5,935
262 Christopher & Banks Corp. 3,909
218 Dress Barn (The), Inc. (a) 3,965
1,971 Finish Line (The), Inc., Class A 13,324
430 Genesco, Inc. (a) 21,736
SPECIALTY RETAIL (CONTINUED)
222 Group 1 Automotive, Inc. $ 8,329
226 Guitar Center, Inc. (a) 13,119
342 Gymboree (The) Corp. (a) 14,723
1,539 Haverty Furniture Cos., Inc. 17,160
164 Hibbett Sports, Inc. (a) 4,203
790 Jo-Ann Stores, Inc. (a) 18,810
542 Jos. A. Bank Clothiers, Inc. (a) 18,699
709 Lithia Motors, Inc., Class A 14,598
352 Men's Wearhouse (The), Inc. 17,389
1,114 Pep Boys-Manny, Moe &
Jack (The) 18,860
277 Select Comfort Corp. (a) 4,415
775 Sonic Automotive, Inc., Class A 21,235
428 Stage Stores, Inc. 7,636
732 Stein Mart, Inc. 7,876
258 Tractor Supply Co. (a) 12,260
402 Tween Brands, Inc. (a) 15,381
566 Zale Corp. (a) 12,016
-------------
322,060
-------------
TEXTILES, APPAREL & LUXURY
GOODS--3.2%
522 Crocs, Inc. (a) 30,965
222 Deckers Outdoor Corp. (a) 22,888
609 Fossil, Inc. (a) 15,560
606 Iconix Brand Group, Inc. (a) 11,987
160 Kellwood Co. 4,102
532 Movado Group, Inc. 15,024
405 Oxford Industries, Inc. 16,362
636 Quiksilver, Inc. (a) 8,160
308 Skechers U.S.A., Inc., Class A (a) 6,403
665 Stride Rite (The) Corp. 13,546
510 UniFirst Corp. 19,156
448 Volcom, Inc. (a) 15,895
162 Wolverine World Wide, Inc. 4,384
-------------
184,432
-------------
THRIFTS & MORTGAGE FINANCE
--2.2%
172 Anchor BanCorp Wisconsin, Inc. 3,844
895 BankUnited Financial Corp.,
Class A 15,072
1,041 Corus Bankshares, Inc. 16,927
340 Dime Community Bancshares 3,805
340 Downey Financial Corp. 18,084
396 FirstFed Financial Corp. (a) 17,898
1,491 Flagstar Bancorp, Inc. 15,954
1,669 Fremont General Corp. (a) 9,630
248 MAF Bancorp, Inc. 13,025
450 Triad Guaranty, Inc. (a) 12,407
-------------
126,646
-------------
|
Page 68 See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES & DISTRIBUTORS
--0.5%
152 Applied Industrial Technologies,
Inc. $ 4,315
288 Kaman Corp. 9,645
248 Watsco, Inc. 12,378
-------------
26,338
-------------
WATER UTILITIES--0.2%
252 American States Water Co. 9,297
-------------
TOTAL INVESTMENTS--99.6%
(Cost $6,171,934) 5,636,097
NET OTHER ASSETS AND
LIABILITIES--0.4% 24,334
-------------
NET ASSETS--100.0% $ 5,660,431
=============
|
(a) Non-income producing security.
See Notes to Financial Statements Page 69
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS--100.0%
AEROSPACE & DEFENSE--1.1%
168 Goodrich Corp. $ 10,569
106 Lockheed Martin Corp. 10,439
525 Northrop Grumman Corp. 39,952
-------------
60,960
-------------
AIR FREIGHT & LOGISTICS--0.9%
369 FedEx Corp. 40,863
137 United Parcel Service, Inc., Class B 10,374
-------------
51,237
-------------
AIRLINES--0.6%
2,059 Southwest Airlines Co. 32,244
-------------
AUTO COMPONENTS--0.2%
86 Johnson Controls, Inc. 9,731
-------------
BEVERAGES--1.0%
843 Constellation Brands, Inc.,
Class A (a) 18,487
443 Molson Coors Brewing Co.,
Class B 39,400
-------------
57,887
-------------
CAPITAL MARKETS--1.6%
293 Bear Stearns (The) Cos., Inc. 35,517
451 E*TRADE Financial Corp. (a) 8,353
208 Legg Mason, Inc. 18,720
245 Merrill Lynch & Co., Inc. 18,179
119 Morgan Stanley 7,601
-------------
88,370
-------------
CHEMICALS--3.8%
255 Air Products and Chemicals, Inc. 22,024
156 Ashland, Inc. 9,525
1,157 Dow Chemical (The) Co. 50,306
636 Eastman Chemical Co. 43,770
403 E.I. du Pont de Nemours and Co. 18,832
1,041 Hercules, Inc. (a) 21,611
269 PPG Industries, Inc. 20,517
561 Rohm and Haas Co. 31,708
-------------
218,293
-------------
COMMERCIAL BANKS--4.0%
245 BB&T Corp. 9,168
168 Comerica, Inc. 8,847
256 First Horizon National Corp. 8,120
900 Huntington Bancshares, Inc. 17,280
894 KeyCorp 31,013
94 M&T Bank Corp. 9,991
1,229 National City Corp. 36,120
429 PNC Financial Services Group, Inc. 28,593
301 Regions Financial Corp. 9,051
116 SunTrust Banks, Inc. 9,083
599 Wachovia Corp. 28,279
COMMERCIAL BANKS (CONTINUED)
283 Wells Fargo & Co. $ 9,557
266 Zions Bancorporation 19,830
-------------
224,932
-------------
COMMERCIAL SERVICES & SUPPLIES
--1.9%
2,280 Allied Waste Industries, Inc. (a) 29,344
150 Avery Dennison Corp. 9,201
706 R.R. Donnelley & Sons Co. 29,836
273 Robert Half International, Inc. 9,279
786 Waste Management, Inc. 29,891
-------------
107,551
-------------
COMMUNICATIONS EQUIPMENT--1.3%
2,791 ADC Telecommunications, Inc. (a) 52,165
564 Motorola, Inc. 9,582
927 Tellabs, Inc. (a) 10,521
-------------
72,268
-------------
COMPUTERS & PERIPHERALS--0.4%
459 Hewlett-Packard Co. 21,128
-------------
CONTAINERS & PACKAGING--1.1%
925 Bemis Co., Inc. 27,260
989 Sealed Air Corp. 26,950
162 Temple-Inland, Inc. 9,417
-------------
63,627
-------------
DISTRIBUTORS--0.3%
413 Genuine Parts Co. 19,651
-------------
DIVERSIFIED FINANCIAL SERVICES
--1.7%
628 Bank of America Corp. 29,780
746 CIT Group, Inc. 30,721
195 Citigroup, Inc. 9,081
634 JPMorgan Chase & Co. 27,902
-------------
97,484
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES--2.4%
493 AT&T, Inc. 19,306
1,043 CenturyTel, Inc. 47,842
1,340 Citizens Communications Co. 19,336
158 Embarq Corp. 9,763
746 Verizon Communications, Inc. 31,795
676 Windstream Corp. 9,302
-------------
137,344
-------------
ELECTRIC UTILITIES--5.2%
682 American Electric Power Co., Inc. 29,660
2,795 Duke Energy Corp. 47,599
191 Entergy Corp. 19,092
632 FirstEnergy Corp. 38,394
361 FPL Group, Inc. 20,841
|
Page 70 See Notes to Financial Statements
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
1,284 Pinnacle West Capital Corp. $ 48,124
213 PPL Corp. 10,041
1,123 Progress Energy, Inc. 49,030
895 Southern Co. 30,108
-------------
292,889
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--1.2%
1,705 Molex, Inc. 48,320
5,561 Solectron Corp. (a) 20,909
-------------
69,229
-------------
ENERGY EQUIPMENT & SERVICES
--3.1%
487 Baker Hughes, Inc. 38,497
838 ENSCO International, Inc. 51,177
890 Halliburton Co. 32,058
1,249 Rowan Cos., Inc. 52,695
-------------
174,427
-------------
FOOD & STAPLES RETAILING--1.8%
728 Kroger (The) Co. 18,899
1,203 Safeway, Inc. 38,340
884 SUPERVALU, Inc. 36,836
261 Whole Foods Market, Inc. 9,667
-------------
103,742
-------------
FOOD PRODUCTS--1.9%
1,546 Archer-Daniels-Midland Co. 51,946
1,284 Dean Foods Co. (a) 36,941
171 General Mills, Inc. 9,511
283 Kraft Foods, Inc., Class A 9,268
-------------
107,666
-------------
GAS UTILITIES--0.7%
954 Nicor, Inc. 37,597
-------------
HEALTH CARE PROVIDERS &
SERVICES--0.9%
202 Aetna, Inc. 9,710
167 McKesson Corp. 9,646
385 WellPoint, Inc. (a) 28,921
-------------
48,277
-------------
HOTELS, RESTAURANTS & LEISURE
--1.3%
839 Carnival Corp. 37,176
457 Starwood Hotels & Resorts
Worldwide, Inc. 28,773
275 Wyndham Worldwide Corp. 9,254
-------------
75,203
-------------
HOUSEHOLD DURABLES--3.5%
249 Fortune Brands, Inc. $ 20,244
1,299 KB Home 41,321
2,320 Leggett & Platt, Inc. 48,095
840 Lennar Corp., Class A 25,754
912 Pulte Homes, Inc. 17,638
337 Stanley Works (The) 18,646
276 Whirlpool Corp. 28,182
-------------
199,880
-------------
HOUSEHOLD PRODUCTS--0.4%
306 Kimberly-Clark Corp. 20,585
-------------
INDUSTRIAL CONGLOMERATES--1.6%
353 3M Co. 31,389
1,211 Tyco International Ltd. 57,268
-------------
88,657
-------------
INSURANCE--8.9%
818 ACE Ltd. 47,215
666 Allstate (The) Corp. 35,398
521 Assurant, Inc. 26,425
945 Chubb (The) Corp. 47,637
708 Cincinnati Financial Corp. 27,754
595 Genworth Financial, Inc., Class A 18,159
311 Hartford Financial Services Group
(The), Inc. 28,572
140 Lincoln National Corp. 8,445
802 Loews Corp. 38,015
323 Marsh & McLennan Cos., Inc. 8,899
658 MBIA, Inc. 36,914
102 Prudential Financial, Inc. 9,040
822 SAFECO Corp. 48,061
305 Torchmark Corp. 18,770
956 Travelers (The) Cos., Inc. 48,545
383 Unum Group 9,307
607 XL Capital Ltd., Class A 47,261
-------------
504,417
-------------
INTERNET SOFTWARE & SERVICES
--0.5%
967 VeriSign, Inc. (a) 28,710
-------------
IT SERVICES--1.8%
692 Computer Sciences Corp. (a) 38,531
1,688 Convergys Corp. (a) 32,156
1,107 Electronic Data Systems Corp. 29,878
-------------
100,565
-------------
LEISURE EQUIPMENT & PRODUCTS
--1.4%
1,568 Brunswick Corp. 43,842
652 Hasbro, Inc. 18,269
809 Mattel, Inc. 18,534
-------------
80,645
-------------
|
See Notes to Financial Statements Page 71
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES
--0.2%
383 PerkinElmer, Inc. $ 10,659
-------------
MACHINERY--3.5%
303 Cummins, Inc. 35,966
401 Dover Corp. 20,451
220 Eaton Corp. 21,380
566 Illinois Tool Works, Inc. 31,158
373 Ingersoll-Rand Co., Ltd., Class A 18,769
235 PACCAR, Inc. 19,228
523 Parker Hannifin Corp. 51,610
-------------
198,562
-------------
MEDIA--4.4%
921 CBS Corp., Class B 29,214
1,328 DIRECTV Group (The), Inc. (a) 29,760
448 E.W. Scripps (The) Co., Class A 18,355
931 Gannett Co., Inc. 46,457
471 News Corp., Class A 9,948
1,945 Time Warner, Inc. 37,461
1,392 Tribune Co. 38,920
1,199 Walt Disney (The) Co. 39,567
-------------
249,682
-------------
METALS & MINING--2.1%
1,010 Alcoa, Inc. 38,582
371 Freeport-McMoRan Copper &
Gold, Inc. 34,867
471 United States Steel Corp. 46,294
-------------
119,743
-------------
MULTILINE RETAIL--2.5%
1,424 Dillard's, Inc., Class A 42,564
424 J. C. Penney Co., Inc. 28,849
1,029 Macy's, Inc. 37,116
241 Sears Holdings Corp. (a) 32,966
-------------
141,495
-------------
MULTI-UTILITIES--8.4%
835 Ameren Corp. 40,063
1,176 CenterPoint Energy, Inc. 19,380
1,189 CMS Energy Corp. 19,214
1,133 Consolidated Edison, Inc. 49,489
237 Dominion Resources, Inc. 19,960
1,061 DTE Energy Co. 49,209
605 Integrys Energy Group, Inc. 29,941
975 KeySpan Corp. 40,511
2,470 NiSource, Inc. 47,103
904 PG&E Corp. 38,700
691 Sempra Energy 36,430
2,382 TECO Energy, Inc. 38,445
2,499 Xcel Energy, Inc. 50,731
-------------
479,176
-------------
OFFICE ELECTRONICS--0.7%
2,214 Xerox Corp. (a) $ 38,656
-------------
OIL, GAS & CONSUMABLE FUELS
--5.3%
607 Chevron Corp. 51,753
652 ConocoPhillips 52,707
868 Hess Corp. 53,121
853 Marathon Oil Corp. 47,086
884 Occidental Petroleum Corp. 50,140
692 Valero Energy Corp. 46,371
-------------
301,178
-------------
PAPER & FOREST PRODUCTS--1.5%
1,310 International Paper Co. 48,562
283 MeadWestvaco Corp. 9,209
389 Weyerhaeuser Co. 27,712
-------------
85,483
-------------
PHARMACEUTICALS--1.4%
2,500 King Pharmaceuticals, Inc. (a) 42,525
1,600 Pfizer, Inc. 37,616
-------------
80,141
-------------
REAL ESTATE INVESTMENT TRUSTS
--0.8%
501 Boston Properties, Inc. 47,339
-------------
ROAD & RAIL--3.5%
361 Burlington Northern Santa Fe Corp. 29,653
908 CSX Corp. 43,048
778 Norfolk Southern Corp. 41,841
951 Ryder System, Inc. 51,706
267 Union Pacific Corp. 31,810
-------------
198,058
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--4.1%
265 Analog Devices, Inc. 9,394
1,544 Applied Materials, Inc. 34,030
861 Intel Corp. 20,337
5,450 LSI Corp. (a) 39,240
299 Maxim Integrated Products, Inc. 9,478
4,083 Micron Technology, Inc. (a) 48,465
1,803 Novellus Systems, Inc. (a) 51,422
1,164 Teradyne, Inc. (a) 18,263
-------------
230,629
-------------
SPECIALTY RETAIL--2.7%
1,823 AutoNation, Inc. (a) 35,512
1,071 Gap (The), Inc. 18,421
746 Limited Brands, Inc. 18,016
1,013 Office Depot, Inc. (a) 25,284
1,041 OfficeMax, Inc. 34,228
308 Sherwin-Williams (The) Co. 21,465
-------------
152,926
-------------
|
Page 72 See Notes to Financial Statements
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
THRIFTS & MORTGAGE FINANCE
--0.9%
900 MGIC Investment Corp. $ 34,794
480 Washington Mutual, Inc. 18,014
-------------
52,808
-------------
TOBACCO--0.3%
142 Altria Group, Inc. 9,439
153 Reynolds American, Inc. 9,359
-------------
18,798
-------------
WIRELESS TELECOMMUNICATION
SERVICES--1.2%
455 ALLTEL Corp. 30,007
1,976 Sprint Nextel Corp. 40,568
-------------
70,575
-------------
TOTAL INVESTMENTS)--100.0%
(Cost $6,202,618) 5,671,104
NET OTHER ASSETS AND
LIABILITIES--(0.0%) (1,862)
-------------
NET ASSETS--100.0% $ 5,669,242
=============
|
(a) Non-income producing security.
See Notes to Financial Statements Page 73
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCK--100.0%
AEROSPACE & DEFENSE--4.5%
468 Boeing (The) Co. $ 48,405
431 General Dynamics Corp. 33,859
594 L-3 Communications Holdings, Inc. 57,951
477 Precision Castparts Corp. 65,377
318 Rockwell Collins, Inc. 21,847
476 United Technologies Corp. 34,734
-------------
262,173
-------------
AIR FREIGHT & LOGISTICS--0.5%
642 C.H. Robinson Worldwide, Inc. 31,233
-------------
BEVERAGES--0.7%
154 Brown-Forman Corp., Class B 10,232
215 Coca-Cola (The) Co. 11,204
668 Pepsi Bottling Group (The), Inc. 22,351
-------------
43,787
-------------
BIOTECHNOLOGY--1.6%
420 Biogen Idec, Inc. (a) 23,747
392 Celgene Corp. (a) 23,740
175 Genzyme Corp. (a) 11,037
870 Gilead Sciences, Inc. (a) 32,390
-------------
90,914
-------------
BUILDING PRODUCTS--0.9%
981 American Standard Cos., Inc. 53,023
-------------
CAPITAL MARKETS--5.7%
708 Ameriprise Financial, Inc. 42,671
548 Charles Schwab (The) Corp. 11,031
293 Federated Investors, Inc., Class B 10,551
340 Franklin Resources, Inc. 43,306
265 Goldman Sachs Group (The), Inc. 49,910
1,616 Janus Capital Group, Inc. 48,577
604 Lehman Brothers Holdings, Inc. 37,448
350 Northern Trust Corp. 21,861
329 State Street Corp. 22,053
867 T. Rowe Price Group, Inc. 45,197
-------------
332,605
-------------
CHEMICALS--2.5%
647 International Flavors &
Fragrances, Inc. 32,421
856 Monsanto Co. 55,169
625 Praxair, Inc. 47,888
264 Sigma-Aldrich Corp. 11,964
-------------
147,442
-------------
COMMERCIAL BANKS--1.3%
912 Commerce Bancorp, Inc. 30,506
489 Compass Bancshares, Inc. 33,879
366 Synovus Financial Corp. 10,233
-------------
74,618
-------------
COMMERCIAL SERVICES &
SUPPLIES--0.7%
285 Cintas Corp., Class A $ 10,420
760 Equifax, Inc. 30,749
-------------
41,169
-------------
COMMUNICATIONS EQUIPMENT
--3.8%
3,435 Avaya, Inc. (a) 56,815
1,245 Ciena Corp. (a) 45,480
1,211 Cisco Systems, Inc. (a) 35,010
880 Corning, Inc. (a) 20,979
1,787 Juniper Networks, Inc. (a) 53,539
259 QUALCOMM, Inc. 10,787
-------------
222,610
-------------
COMPUTERS & PERIPHERALS--5.0%
474 Apple, Inc. (a) 62,454
1,576 Dell, Inc. (a) 44,081
3,196 EMC Corp. (a) 59,158
321 International Business Machines Corp. 35,519
856 NCR Corp. (a) 44,700
689 SanDisk Corp. (a) 36,951
2,138 Sun Microsystems, Inc. (a) 10,904
-------------
293,767
-------------
CONSTRUCTION & ENGINEERING--1.0%
519 Fluor Corp. 59,950
-------------
CONSTRUCTION MATERIALS--0.3%
196 Vulcan Materials Co. 18,761
-------------
CONSUMER FINANCE--1.2%
368 American Express Co. 21,543
143 Capital One Financial Corp. 10,119
781 SLM Corp. (a) 38,401
-------------
70,063
-------------
CONTAINERS & PACKAGING--1.0%
1,088 Ball Corp. 55,782
-------------
DIVERSIFIED CONSUMER SERVICES
--0.7%
577 Apollo Group, Inc., Class A (a) 34,106
481 H&R Block, Inc. 9,596
-------------
43,702
-------------
ELECTRIC UTILITIES--1.3%
217 Allegheny Energy, Inc. (a) 11,334
802 Edison International$ 42,417
310 Exelon Corp. 21,747
-------------
75,498
-------------
ELECTRICAL EQUIPMENT--1.9%
1,013 Cooper Industries Ltd., Class A 53,608
721 Emerson Electric Co. 33,937
|
Page 74 See Notes to Financial Statements
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCK (CONTINUED)
ELECTRICAL EQUIPMENT (CONTINUED)
324 Rockwell Automation, Inc. $ 22,677
-------------
110,222
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--0.9%
293 Agilent Technologies, Inc. (a) 11,178
510 Jabil Circuit, Inc. 11,490
1,000 Tektronix, Inc. 32,850
-------------
55,518
-------------
ENERGY EQUIPMENT & SERVICES--6.8%
1,011 Nabors Industries Ltd. (a) 29,562
555 National Oilwell Varco, Inc. (a) 66,661
593 Noble Corp. 60,759
681 Schlumberger Ltd. 64,504
986 Smith International, Inc. 60,550
546 Transocean, Inc. (a) 58,668
1,047 Weatherford International Ltd. (a) 57,931
-------------
398,635
-------------
FOOD & STAPLES RETAILING--1.1%
1,234 CVS Caremark Corp. 43,424
468 Wal-Mart Stores, Inc. 21,505
-------------
64,929
-------------
FOOD PRODUCTS--0.4%
407 Wm. Wrigley Jr. Co. 23,476
-------------
GAS UTILITIES--0.6%
638 Questar Corp. 32,851
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--2.1%
599 Baxter International, Inc. 31,507
492 Biomet, Inc. (a) 22,401
813 St. Jude Medical, Inc. (a) 35,073
357 Stryker Corp. 22,288
132 Zimmer Holdings, Inc. (a) 10,264
-------------
121,533
-------------
HEALTH CARE PROVIDERS &
SERVICES--5.5%
478 Cardinal Health, Inc. 31,419
861 CIGNA Corp. 44,462
585 Coventry Health Care, Inc. (a) 32,649
1,157 Express Scripts, Inc. (a) 58,000
739 Humana, Inc. (a) 47,363
287 Laboratory Corp. of America
Holdings (a) 21,195
886 Manor Care, Inc. 56,128
302 Patterson Cos., Inc. (a) 10,833
440 UnitedHealth Group, Inc. 21,309
-------------
323,358
-------------
HEALTH CARE TECHNOLOGY--0.5%
1,050 IMS Health, Inc. $ 29,537
-------------
HOTELS, RESTAURANTS & LEISURE
--2.4%
256 Darden Restaurants, Inc. 10,898
264 Harrah's Entertainment, Inc. 22,358
672 Hilton Hotels Corp. 29,709
886 McDonald's Corp. 42,413
1,031 Yum! Brands, Inc. 33,033
-------------
138,411
-------------
HOUSEHOLD DURABLES--1.0%
127 Black & Decker (The) Corp. 10,994
385 Harman International Industries, Inc. 44,660
-------------
55,654
-------------
INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS--1.1%
1,028 AES (The) Corp. (a) 20,200
516 Constellation Energy Group 43,241
-------------
63,441
-------------
INDUSTRIAL CONGLOMERATES--0.2%
294 General Electric Co. 11,395
-------------
INSURANCE--0.9%
219 AFLAC, Inc. 11,414
161 American International Group, Inc. 10,333
523 MetLife, Inc. 31,495
-------------
53,242
-------------
INTERNET & CATALOG RETAIL--1.1%
845 Amazon.com, Inc. (a) 66,366
-------------
INTERNET SOFTWARE & SERVICES--0.8%
86 Google, Inc., Class A (a) 43,860
-------------
IT SERVICES--2.1%
397 Affiliated Computer Services,
Inc., Class A (a) 21,303
1,066 Fidelity National Information
Services, Inc. 52,906
688 First Data Corp. 21,872
594 Fiserv, Inc. (a) 29,355
-------------
125,436
-------------
LIFE SCIENCES TOOLS & SERVICES
--1.9%
449 Millipore Corp. (a) 35,296
870 Thermo Fisher Scientific, Inc. (a) 45,422
568 Waters Corp. (a) 33,092
-------------
113,810
-------------
MACHINERY--5.0%
575 Caterpillar, Inc. 45,310
298 Danaher Corp. 22,255
|
See Notes to Financial Statements Page 75
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCK (CONTINUED)
MACHINERY (CONTINUED)
479 Deere & Co. $ 57,681
847 ITT Corp. 53,259
1,258 Pall Corp. 52,232
711 Terex Corp. (a) 61,324
-------------
292,061
-------------
MEDIA--2.0%
595 Clear Channel Communications, Inc. 21,956
1,200 Comcast Corp., Class A (a) 31,523
165 McGraw-Hill (The) Cos., Inc. 9,983
548 Meredith Corp. 30,957
213 Omnicom Group, Inc. 11,048
270 Viacom, Inc., Class B (a) 10,341
-------------
115,808
-------------
METALS & MINING--0.9%
429 Allegheny Technologies, Inc. 45,015
192 Nucor Corp. 9,638
-------------
54,653
-------------
MULTILINE RETAIL--3.0%
1,529 Big Lots, Inc. (a) 39,540
1,685 Family Dollar Stores, Inc. 49,909
317 Kohl's Corp. (a) 19,274
440 Nordstrom, Inc. 20,935
707 Target Corp. 42,823
-------------
172,481
-------------
OIL, GAS & CONSUMABLE FUELS
--6.5%
865 Anadarko Petroleum Corp. 43,535
414 Apache Corp. 33,468
1,300 Chesapeake Energy Corp. 44,252
244 CONSOL Energy, Inc. 10,163
287 Devon Energy Corp. 21,413
402 Exxon Mobil Corp. 34,222
757 Murphy Oil Corp. 46,964
465 Peabody Energy Corp. 19,651
726 Sunoco, Inc. 48,440
1,067 Williams (The) Cos., Inc. 34,411
749 XTO Energy, Inc. 40,843
-------------
377,362
-------------
PERSONAL PRODUCTS--0.4%
306 Avon Products, Inc. 11,019
247 Estee Lauder (The) Cos., Inc.,
Class A 11,120
-------------
22,139
-------------
PHARMACEUTICALS--2.5%
224 Barr Pharmaceuticals, Inc. (a) 11,473
1,900 Schering-Plough Corp. 54,226
1,778 Watson Pharmaceuticals, Inc. (a) 54,087
PHARMACEUTICALS (CONTINUED)
588 Wyeth $ 28,530
-------------
148,316
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT--0.7%
1,233 CB Richard Ellis Group, Inc.,
Class A (a) 43,056
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--4.9%
1,525 Altera Corp. 35,380
614 KLA-Tencor Corp. 34,869
311 Linear Technology Corp. 11,087
736 MEMC Electronic Materials, Inc. (a) 45,132
796 National Semiconductor Corp. 20,688
1,400 NVIDIA Corp. (a) 64,064
2,910 PMC-Sierra, Inc. (a) 22,174
1,195 Texas Instruments, Inc. 42,052
420 Xilinx, Inc. 10,500
-------------
285,946
-------------
SOFTWARE--2.6%
956 Autodesk, Inc. (a) 40,506
435 CA, Inc. 10,910
334 Citrix Systems, Inc. (a) 12,081
382 Microsoft Corp. 11,074
2,282 Oracle Corp. (a) 43,631
1,670 Symantec Corp. (a) 32,064
-------------
150,266
-------------
SPECIALTY RETAIL--3.5%
308 Abercrombie & Fitch Co., Class A 21,529
329 AutoZone, Inc. (a) 41,720
572 Home Depot (The), Inc. 21,261
1,745 RadioShack Corp. 43,852
1,090 Tiffany & Co. 52,593
818 TJX (The) Cos., Inc. 22,700
-------------
203,655
-------------
TEXTILES, APPAREL & LUXURY
GOODS--2.6%
475 Coach, Inc. (a) 21,594
772 NIKE, Inc., Class B 43,579
590 Polo Ralph Lauren Corp. 52,716
368 VF Corp. 31,571
-------------
149,460
-------------
THRIFTS & MORTGAGE FINANCE
--0.5%
619 Countrywide Financial Corp. 17,437
185 Freddie Mac 10,595
-------------
28,032
-------------
|
Page 76 See Notes to Financial Statements
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCK (CONTINUED)
TRADING COMPANIES & DISTRIBUTORS
--0.9%
622 W.W. Grainger, Inc. $ 54,338
-------------
TOTAL INVESTMENTS--100.0%
(Cost $6,078,689) 5,846,344
NET OTHER ASSETS AND
LIABILITIES--(0.0%) (1,786)
-------------
NET ASSETS--100.0% $ 5,844,558
=============
|
(a) Non-income producing security.
See Notes to Financial Statements Page 77
First Trust Multi Cap Value AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS --100.2%
AEROSPACE & DEFENSE--0.9%
71 AAR Corp. (a) $ 2,118
83 Esterline Technologies Corp. (a) 3,842
42 Goodrich Corp. 2,642
27 Lockheed Martin Corp. 2,659
132 Northrop Grumman Corp. 10,045
61 Triumph Group, Inc. 4,649
-------------
25,955
-------------
AIR FREIGHT & LOGISTICS--0.5%
92 FedEx Corp. 10,189
34 United Parcel Service, Inc., Class B 2,574
-------------
12,763
-------------
AIRLINES--0.8%
278 Alaska Air Group, Inc. (a) 6,486
286 Frontier Airlines Holdings, Inc. (a) 1,516
484 Mesa Air Group, Inc. (a) 3,219
168 SkyWest, Inc. 3,748
516 Southwest Airlines Co. 8,080
-------------
23,049
-------------
AUTO COMPONENTS--0.8%
45 BorgWarner, Inc. 3,890
22 Johnson Controls, Inc. 2,489
428 Modine Manufacturing Co. 10,957
266 Standard Motor Products, Inc. 3,312
108 Superior Industries International, Inc. 1,998
-------------
22,646
-------------
AUTOMOBILES--0.0%
55 Monaco Coach Corp. 767
-------------
BEVERAGES--0.8%
211 Constellation Brands, Inc.,
Class A (a) 4,627
111 Molson Coors Brewing Co.,
Class B 9,873
236 PepsiAmericas, Inc. 6,530
-------------
21,030
-------------
BUILDING PRODUCTS--0.3%
28 Apogee Enterprises, Inc. 721
106 Gibraltar Industries, Inc. 2,047
108 Griffon Corp. (a) 1,898
69 Lennox International, Inc. 2,643
38 Universal Forest Products, Inc. 1,503
-------------
8,812
-------------
CAPITAL MARKETS--1.0%
73 Bear Stearns (The) Cos., Inc. 8,849
113 E*TRADE Financial Corp. (a) 2,093
106 LaBranche & Co, Inc. (a) 686
52 Legg Mason, Inc. 4,680
CAPITAL MARKETS (CONTINUED)
61 Merrill Lynch & Co., Inc. $ 4,526
30 Morgan Stanley 1,916
29 Piper Jaffray Cos., Inc. (a) 1,390
148 SWS Group, Inc. 2,612
-------------
26,752
-------------
CHEMICALS--4.4%
66 A. Schulman, Inc. 1,533
64 Air Products & Chemicals, Inc. 5,528
49 Albemarle Corp. 1,971
22 Arch Chemicals, Inc. 778
39 Ashland, Inc. 2,381
122 Cabot Corp. 4,926
121 Cytec Industries, Inc. 8,106
290 Dow Chemical (The) Co. 12,610
101 E.I. du Pont de Nemours and Co. 4,720
159 Eastman Chemical Co. 10,942
43 FMC Corp. 3,833
88 Georgia Gulf Corp. 1,425
54 H.B. Fuller Co. 1,492
261 Hercules, Inc. (a) 5,418
60 Lubrizol (The) Corp. 3,760
339 Material Sciences Corp. (a) 3,729
369 Olin Corp. 7,701
30 OM Group, Inc. (a) 1,453
147 Penford Corp. 5,252
445 PolyOne Corp. (a) 3,346
67 PPG Industries, Inc. 5,110
136 Quaker Chemical Corp. 2,954
141 Rohm & Haas Co. 7,969
305 Sensient Technologies Corp. 7,747
285 Tronox, Inc., Class B 3,506
136 Valspar (The) Corp. 3,752
-------------
121,942
-------------
COMMERCIAL BANKS--3.1%
13 Alabama National BanCorporation 694
57 Associated Banc-Corp. 1,638
61 BB&T Corp. 2,283
88 Boston Private Financial Holdings, Inc. 2,243
56 Cathay General Bancorp 1,714
71 Central Pacific Financial Corp. 2,003
46 Chittenden Corp. 1,539
42 Comerica, Inc. 2,212
160 Community Bank System, Inc. 2,878
147 First Commonwealth Financial Corp. 1,394
64 First Horizon National Corp. 2,030
67 Greater Bay Bancorp 1,801
94 Hanmi Financial Corp. 1,363
226 Huntington Bancshares, Inc. 4,339
52 Irwin Financial Corp. 609
224 KeyCorp 7,770
23 M&T Bank Corp. 2,445
308 National City Corp. 9,051
107 PNC Financial Services Group, Inc. 7,131
|
Page 78 See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL BANKS (CONTINUED)
24 Prosperity Bancshares, Inc. $ 680
49 Provident Bankshares Corp. 1,406
76 Regions Financial Corp. 2,285
35 South Financial Group (The), Inc. 755
55 Sterling Financial Corp. 1,249
29 SunTrust Banks, Inc. 2,271
72 Susquehanna Bancshares, Inc. 1,246
68 Umpqua Holdings Corp. 1,293
150 Wachovia Corp. 7,082
91 Webster Financial Corp. 3,955
71 Wells Fargo & Co. 2,398
26 Whitney Holding Corp. 650
18 Wintrust Financial Corp. 709
67 Zions Bancorporation 4,995
-------------
86,111
-------------
COMMERCIAL SERVICES &
SUPPLIES--2.8%
155 ABM Industries, Inc. 3,900
572 Allied Waste Industries, Inc. (a) 7,362
190 Angelica Corp. 4,148
38 Avery Dennison Corp. 2,331
164 Bowne & Co., Inc. 2,844
30 Brink's (The) Co. 1,835
24 CDI Corp. 679
46 Consolidated Graphics, Inc. (a) 3,032
101 G&K Services, Inc., Class A 3,763
59 Herman Miller, Inc. 1,801
46 HNI Corp. 1,878
282 Kelly Services, Inc., Class A 7,008
313 Navigant Consulting, Inc. (a) 4,930
73 On Assignment, Inc. (a) 732
177 R.R. Donnelley & Sons Co. 7,479
61 Republic Services, Inc. 1,949
68 Robert Half International, Inc. 2,311
45 School Specialty, Inc. (a) 1,550
341 Spherion Corp. (a) 3,011
48 United Stationers, Inc. (a) 3,060
76 Viad Corp. 2,732
128 Volt Information Sciences, Inc. (a) 1,994
197 Waste Management, Inc. 7,491
-------------
77,820
-------------
COMMUNICATIONS EQUIPMENT--1.1%
699 ADC Telecommunications, Inc. (a) 13,064
72 ADTRAN, Inc. 1,878
47 Bel Fuse, Inc., Class B 1,421
77 Black Box Corp. 3,099
160 Digi International, Inc. (a) 2,285
63 Dycom Industries, Inc. (a) 1,761
33 Inter-Tel, Inc. 819
141 Motorola, Inc. 2,396
93 Symmetricom, Inc. (a) 694
232 Tellabs, Inc. (a) 2,633
COMMUNICATIONS EQUIPMENT
(CONTINUED)
74 Tollgrade Communications, Inc. (a) $ 764
-------------
30,814
-------------
COMPUTERS & PERIPHERALS--0.7%
618 Adaptec, Inc. (a) 2,163
115 Hewlett-Packard Co. 5,293
213 Hutchinson Technology, Inc. (a) 4,273
210 Imation Corp. 6,569
37 Intevac, Inc. (a) 601
117 Palm, Inc. (a) 1,746
-------------
20,645
-------------
CONSTRUCTION & ENGINEERING
--0.1%
27 EMCOR Group, Inc. (a) 969
48 URS Corp. (a) 2,365
-------------
3,334
-------------
CONSTRUCTION MATERIALS--0.1%
28 Florida Rock Industries, Inc. 1,778
30 Texas Industries, Inc. 2,365
-------------
4,143
-------------
CONSUMER FINANCE--0.2%
219 AmeriCredit Corp. (a) 4,454
40 Cash America International, Inc. 1,465
-------------
5,919
-------------
CONTAINERS & PACKAGING--1.3%
90 AptarGroup, Inc. 3,276
232 Bemis Co., Inc. 6,837
187 Chesapeake Corp. 2,085
35 Myers Industries, Inc. 749
229 Packaging Corp of America 5,844
126 Rock-Tenn Co., Class A 3,871
248 Sealed Air Corp. 6,758
90 Sonoco Products Co. 3,300
41 Temple-Inland, Inc. 2,383
-------------
35,103
-------------
DISTRIBUTORS--0.3%
60 Audiovox Corp., Class A (a) 607
226 Building Materials Holding Corp. 3,139
103 Genuine Parts Co. 4,901
-------------
8,647
-------------
DIVERSIFIED CONSUMER SERVICES
--0.3%
11 CPI Corp. 646
202 Regis Corp. 7,042
-------------
7,688
-------------
|
See Notes to Financial Statements Page 79
First Trust Multi Cap Value AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED FINANCIAL SERVICES
--0.9%
157 Bank of America Corp. $ 7,445
187 CIT Group, Inc. 7,700
49 Citigroup, Inc. 2,282
26 Financial Federal Corp. 737
159 JPMorgan Chase & Co. 6,998
-------------
25,162
-------------
DIVERSIFIED TELECOMMUNICATION
SERVICES--1.3%
124 AT&T, Inc. 4,856
250 CenturyTel, Inc. 11,468
336 Citizens Communications Co. 4,848
105 CT Communications, Inc. 3,218
39 Embarq Corp. 2,410
187 Verizon Communications, Inc. 7,970
169 Windstream Corp. 2,325
-------------
37,095
-------------
ELECTRIC UTILITIES--5.0%
34 ALLETE, Inc. 1,491
171 American Electric Power Co., Inc. 7,437
106 Central Vermont Public Service
Corp. 3,604
131 Cleco Corp. 3,111
701 Duke Energy Corp. 11,938
163 El Paso Electric Co. (a) 3,793
48 Entergy Corp. 4,798
158 FirstEnergy Corp. 9,599
90 FPL Group, Inc. 5,196
266 Great Plains Energy, Inc. 7,384
163 Hawaiian Electric Industries, Inc. 3,718
302 IDACORP, Inc. 9,350
205 Northeast Utilities 5,605
206 Pepco Holdings, Inc. 5,576
322 Pinnacle West Capital Corp. 12,069
53 PPL Corp. 2,498
281 Progress Energy, Inc. 12,268
441 Sierra Pacific Resources (a) 7,007
224 Southern Co. 7,535
97 UIL Holdings Corp. 2,869
97 Unisource Energy Corp. 2,952
399 Westar Energy, Inc. 9,185
-------------
138,983
-------------
ELECTRICAL EQUIPMENT--0.4%
59 A.O. Smith Corp. 2,864
16 Baldor Electric Co. 730
14 Belden, Inc. 767
71 Hubbell, Inc., Class B 4,093
51 Regal-Beloit Corp. 2,587
-------------
11,041
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--2.7%
71 Agilysys, Inc. $ 1,364
43 Anixter International, Inc. (a) 3,554
252 Arrow Electronics, Inc. (a) 9,631
98 Avnet, Inc. (a) 3,712
245 Bell Microproducts, Inc. (a) 1,539
104 Benchmark Electronics, Inc. (a) 2,309
52 Coherent, Inc. (a) 1,505
186 CTS Corp. 2,370
38 Electro Scientific Industries, Inc. (a) 834
67 Gerber Scientific, Inc. (a) 695
267 Ingram Micro, Inc. Class A (a) 5,353
104 Insight Enterprises, Inc. (a) 2,346
549 KEMET Corp. (a) 3,865
204 Methode Electronics, Inc. 3,299
427 Molex, Inc. 12,102
152 Newport Corp. (a) 1,987
83 Park Electrochemical Corp. 2,461
34 Plexus Corp. (a) 825
21 Rogers Corp. (a) 759
1,394 Solectron Corp. (a) 5,241
612 Vishay Intertechnology, Inc. (a) 9,492
-------------
75,243
-------------
ENERGY EQUIPMENT & SERVICES
--2.6%
122 Baker Hughes, Inc. 9,644
81 Bristow Group, Inc. (a) 3,842
210 ENSCO International, Inc. 12,825
223 Halliburton Co. 8,032
162 Hanover Compressor Co. (a) 3,860
273 Helmerich & Payne, Inc. 8,837
313 Rowan Cos., Inc. 13,206
43 SEACOR Holdings, Inc. (a) 3,750
137 Tidewater, Inc. 9,374
-------------
73,370
-------------
FOOD & STAPLES RETAILING--1.7%
107 BJ's Wholesale Club, Inc. (a) 3,634
59 Casey's General Stores, Inc. 1,471
95 Great Atlantic & Pacific Tea
The) Co. (a) 2,769
182 Kroger (The) Co. 4,725
30 Longs Drug Stores Corp. 1,451
32 Nash Finch Co. 1,289
49 Performance Food Group Co. (a) 1,404
257 Ruddick Corp. 7,145
301 Safeway, Inc. 9,592
49 Spartan Stores, Inc. 1,434
221 SUPERVALU, Inc. 9,209
65 Whole Foods Market, Inc. 2,408
-------------
46,531
-------------
FOOD PRODUCTS--1.9%
387 Archer-Daniels-Midland Co. 13,004
Page 80 See Notes to Financial Statements
|
First Trust Multi Cap Value AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
322 Dean Foods Co. (a) $ 9,264
24 Flowers Foods, Inc. 492
43 General Mills, Inc. 2,392
29 Hain Celestial Group (The), Inc. (a) 786
155 Hormel Foods Corp. 5,335
42 J & J Snack Foods Corp. 1,447
29 J.M. Smucker (The) Co. 1,618
71 Kraft Foods, Inc., Class A 2,325
92 Lancaster Colony Corp. 3,562
30 Ralcorp Holdings, Inc. (a) 1,559
189 Smithfield Foods, Inc. (a) 5,870
68 Tootsie Roll Industries, Inc. 1,702
120 TreeHouse Foods, Inc. (a) 2,689
-------------
52,045
-------------
GAS UTILITIES--2.1%
143 AGL Resources, Inc. 5,391
133 Atmos Energy Corp. 3,733
58 Energen Corp. 3,069
74 Laclede Group (The), Inc. 2,187
43 National Fuel Gas Co. 1,864
46 New Jersey Resources Corp. 2,162
239 Nicor, Inc. 9,420
87 Northwest Natural Gas Co. 3,625
77 ONEOK, Inc. 3,908
95 Piedmont Natural Gas Co. 2,203
90 South Jersey Industries, Inc. 2,949
98 Southern Union Co. 3,026
118 Southwest Gas Corp. 3,667
117 UGI Corp. 3,020
237 WGL Holdings, Inc. 7,096
-------------
57,320
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--0.5%
54 Advanced Medical Optics, Inc. (a) 1,632
11 Analogic Corp. 730
55 CONMED Corp. (a) 1,535
61 Datascope Corp. 2,099
444 Osteotech, Inc. (a) 3,183
49 Symmetry Medical, Inc. (a) 732
959 Theragenics Corp. (a) 3,788
-------------
13,699
-------------
HEALTH CARE PROVIDERS &
SERVICES--1.4%
51 Aetna, Inc. 2,452
67 AMERIGROUP Corp. (a) 1,855
117 Gentiva Health Services, Inc. (a) 2,336
315 Kindred Healthcare, Inc. (a) 8,435
200 LifePoint Hospitals, Inc. (a) 5,910
78 Matria Healthcare, Inc. (a) 2,015
42 McKesson Corp. 2,426
52 Omnicare, Inc. 1,724
HEALTH CARE PROVIDERS &
SERVICES (CONTINUED)
22 Owens & Minor, Inc. $ 846
165 RehabCare Group, Inc. (a) 2,338
111 Res-Care, Inc. (a) 2,157
96 WellPoint, Inc. (a) 7,212
-------------
39,706
-------------
HOTELS, RESTAURANTS & LEISURE
--1.5%
210 Bob Evans Farms, Inc. 6,815
74 California Pizza Kitchen, Inc. (a) 1,405
210 Carnival Corp. 9,304
44 CBRL Group, Inc. 1,691
39 CKE Restaurants, Inc. 674
106 Landry's Restaurants, Inc. 2,808
67 Marcus (The) Corp. 1,319
198 O'Charley's, Inc. 3,511
28 Pinnacle Entertainment, Inc. (a) 742
60 RARE Hospitality International,
Inc. (a) 1,606
115 Starwood Hotels & Resorts
Worldwide, Inc. 7,240
240 Steak n Shake (The) Co. (a) 3,600
69 Wyndham Worldwide Corp. (a) 2,322
-------------
43,037
-------------
HOUSEHOLD DURABLES--2.5%
66 American Greetings Corp., Class A 1,632
314 Beazer Homes USA, Inc. 4,393
163 Champion Enterprises, Inc. (a) 1,910
23 Ethan Allen Interiors, Inc. 786
62 Fortune Brands, Inc. 5,041
409 Furniture Brands International, Inc. 4,507
326 KB Home 10,369
581 Leggett & Platt, Inc. 12,043
210 Lennar Corp., Class A 6,439
36 Libbey, Inc. 718
60 M/I Homes, Inc. 1,473
38 National Presto Industries, Inc. 2,134
228 Pulte Homes, Inc. 4,410
42 Russ Berrie and Co., Inc. (a) 646
84 Stanley Works (The) 4,648
65 Tupperware Brands Corp. 1,691
69 Whirlpool Corp. 7,046
-------------
69,886
-------------
HOUSEHOLD PRODUCTS--0.2%
136 Central Garden & Pet Co.,
Class A (a) 1,665
77 Kimberly-Clark Corp. 5,179
-------------
6,844
-------------
INDUSTRIAL CONGLOMERATES--1.2%
89 3M Co. 7,914
35 Sequa Corp., Class A (a) 5,779
|
See Notes to Financial Statements Page 81
First Trust Multi Cap Value AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INDUSTRIAL CONGLOMERATES (CONTINUED)
56 Standex International Corp. $ 1,327
188 Tredegar Corp. 3,452
304 Tyco International Ltd. 14,375
-------------
32,847
-------------
INSURANCE--8.1%
205 ACE Ltd. 11,833
167 Allstate (The) Corp. 8,876
227 American Financial Group, Inc 6,376
131 Assurant, Inc. 6,644
237 Chubb (The) Corp. 11,947
177 Cincinnati Financial Corp. 6,938
279 Commerce Group (The), Inc. 8,016
56 Delphi Financial Group, Inc., Class A 2,250
408 Fidelity National Financial, Inc.,
Class A 8,523
156 First American Corp. 7,221
149 Genworth Financial, Inc., Class A 4,547
119 Hanover Insurance Group, Inc. 5,223
78 Hartford Financial Services Group
(The), Inc. 7,166
273 Horace Mann Educators Corp. 4,868
41 LandAmerica Financial Group, Inc. 3,140
35 Lincoln National Corp. 2,111
201 Loews Corp. 9,527
81 Marsh & McLennan Cos., Inc. 2,232
165 MBIA, Inc. 9,257
105 Mercury General Corp. 5,437
134 Ohio Casualty Corp. 5,817
364 Old Republic International Corp. 6,683
120 Presidential Life Corp. 1,957
57 ProAssurance Corp. (a) 2,815
81 Protective Life Corp. 3,485
26 Prudential Financial, Inc. 2,304
71 RLI Corp. 4,118
206 SAFECO Corp. 12,045
77 Safety Insurance Group, Inc. 2,564
128 SCPIE Holdings, Inc. (a) 2,876
119 Selective Insurance Group 2,442
100 Stewart Information Services Corp. 3,648
77 Torchmark Corp. 4,739
240 Travelers (The) Cos., Inc. 12,186
113 United Fire & Casualty Co. 3,889
118 Unitrin, Inc. 5,001
96 Unum Group 2,333
152 XL Capital Ltd., Class A 11,835
85 Zenith National Insurance Corp. 3,431
-------------
226,300
-------------
INTERNET & CATALOG RETAIL--0.3%
499 Netflix, Inc. (a) 8,598
-------------
INTERNET SOFTWARE & SERVICES--0.3%
34 InfoSpace, Inc. $ 708
97 United Online, Inc. 1,370
242 VeriSign, Inc. (a) 7,185
-------------
9,263
-------------
IT SERVICES--1.6%
71 Acxiom Corp. 1,786
89 Authorize.Net Holdings, Inc. (a) 1,542
96 CheckFree Corp. (a) 3,537
489 CIBER, Inc. (a) 3,712
173 Computer Sciences Corp. (a) 9,633
423 Convergys Corp. (a) 8,058
277 Electronic Data Systems Corp. 7,476
579 MPS Group, Inc. (a) 7,718
218 StarTek, Inc. (a) 2,389
-------------
45,851
-------------
LEISURE EQUIPMENT & PRODUCTS
--1.2%
162 Arctic Cat, Inc. 2,935
393 Brunswick Corp. 10,989
163 Hasbro, Inc. 4,567
142 JAKKS Pacific, Inc. (a) 3,367
263 K2, Inc. (a) 3,842
118 MarineMax, Inc. (a) 2,207
203 Mattel, Inc. 4,651
40 RC2 Corp. (a) 1,416
-------------
33,974
-------------
LIFE SCIENCES TOOLS & SERVICES--0.1%
96 PerkinElmer, Inc. 2,672
-------------
MACHINERY--3.3%
19 Albany International Corp., Class A 712
74 Barnes Group, Inc. 2,309
76 Cummins, Inc. 9,021
100 Dover Corp. 5,100
55 Eaton Corp. 5,345
244 Federal Signal Corp. 3,282
74 Harsco Corp. 3,897
142 Illinois Tool Works, Inc. 7,817
94 Ingersoll-Rand Co. Ltd., Class A 4,730
118 Kennametal, Inc. 9,046
274 Lydall, Inc. (a) 3,165
93 Mueller Industries, Inc. 3,430
77 Nordson Corp. 3,524
59 PACCAR, Inc. 4,827
131 Parker Hannifin Corp. 12,926
49 Pentair, Inc. 1,774
107 Timken (The) Co. 3,574
133 Trinity Industries, Inc. 5,085
54 Wabash National Corp. 686
63 Watts Water Technologies, Inc., Class A 2,199
-------------
92,449
-------------
|
Page 82 See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MARINE--0.1%
73 Alexander & Baldwin, Inc. $ 3,958
-------------
MEDIA--3.4%
376 Belo Corp., Class A 6,730
231 CBS Corp., Class B 7,327
333 DIRECTV Group (The), Inc. (a) 7,463
112 E.W. Scripps (The) Co., Class A 4,589
233 Gannett Co., Inc. 11,627
464 Lee Enterprises, Inc. 8,171
291 Media General, Inc., Class A 8,206
118 News Corp., Class A 2,492
162 Scholastic Corp. (a) 5,213
487 Time Warner, Inc. 9,380
349 Tribune Co. 9,758
300 Walt Disney (The) Co. 9,900
5 Washington Post (The) Co. 3,954
-------------
94,810
-------------
METALS & MINING--2.1%
253 Alcoa, Inc. 9,665
66 A.M. Castle & Co. 2,179
29 AMCOL International, Corp. 830
95 Brush Engineered Materials, Inc. (a) 3,598
45 Carpenter Technology Corp. 5,341
43 Century Aluminum Co. (a) 2,216
93 Freeport-McMoRan Copper &
Gold, Inc. 8,740
66 Quanex Corp. 2,974
106 Ryerson, Inc. 3,402
118 United States Steel Corp. 11,598
447 Worthington Industries, Inc. 9,253
-------------
59,796
-------------
MULTILINE RETAIL--1.4%
357 Dillard's, Inc., Class A 10,671
239 Fred's, Inc. 2,837
106 J. C. Penney Co., Inc. 7,212
258 Macy's, Inc. 9,306
61 Sears Holdings Corp. (a) 8,344
63 Tuesday Morning Corp. 735
-------------
39,105
-------------
MULTI-UTILITIES--7.3%
249 Alliant Energy Corp. 9,201
209 Ameren Corp. 10,028
148 Avista Corp. 2,933
195 Black Hills Corp. 7,274
295 CenterPoint Energy, Inc. 4,862
71 CH Energy Group, Inc. 3,149
298 CMS Energy Corp. 4,816
284 Consolidated Edison, Inc. 12,404
59 Dominion Resources, Inc. 4,969
266 DTE Energy Co. 12,336
297 Energy East Corp. 7,517
MULTI-UTILITIES (CONTINUED)
152 Integrys Energy Group, Inc. $ 7,522
244 KeySpan Corp. 10,138
276 MDU Resources Group, Inc. 7,524
619 NiSource, Inc. 11,804
179 NSTAR 5,630
158 OGE Energy Corp. 5,238
226 PG&E Corp. 9,675
279 PNM Resources, Inc. 7,207
400 Puget Energy, Inc. 9,260
202 SCANA Corp. 7,551
173 Sempra Energy 9,121
597 TECO Energy, Inc. 9,636
287 Vectren Corp. 7,166
131 Wisconsin Energy Corp. 5,624
626 Xcel Energy, Inc. 12,707
-------------
205,292
-------------
OFFICE ELECTRONICS--0.4%
555 Xerox Corp. (a) 9,690
-------------
OIL, GAS & CONSUMABLE FUELS
--4.6%
111 Arch Coal, Inc. 3,318
152 Chevron Corp. 12,960
246 Cimarex Energy Co. 9,311
163 ConocoPhillips 13,177
209 Encore Acquisition Co. (a) 5,407
229 Forest Oil Corp. (a) 9,268
217 Hess Corp. 13,280
214 Marathon Oil Corp. 11,813
124 Noble Energy, Inc. 7,581
222 Occidental Petroleum Corp. 12,592
119 Overseas Shipholding Group, Inc. 9,233
202 Plains Exploration & Production
Co. (a) 8,728
174 Valero Energy Corp. 11,660
-------------
128,328
-------------
PAPER & FOREST PRODUCTS--1.5%
155 Bowater, Inc. 3,041
259 Buckeye Technologies, Inc. (a) 3,970
138 Glatfelter 1,853
328 International Paper Co. 12,160
99 Louisiana-Pacific Corp. 1,833
71 MeadWestvaco Corp. 2,310
78 Neenah Paper, Inc. 3,021
806 Pope & Talbot, Inc. (a) 2,120
129 Schweitzer-Mauduit International,
Inc. 2,945
176 Wausau Paper Corp. 1,969
97 Weyerhaeuser Co. 6,911
-------------
42,133
-------------
PERSONAL PRODUCTS--0.2%
245 Alberto-Culver Co. 5,762
-------------
|
See Notes to Financial Statements Page 83
First Trust Multi Cap Value AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS--0.9%
62 Alpharma, Inc., Class A (a) $ 1,537
627 King Pharmaceuticals, Inc. (a) 10,664
401 Pfizer, Inc. 9,428
290 ViroPharma, Inc. (a) 3,727
-------------
25,356
-------------
REAL ESTATE INVESTMENT TRUSTS
--1.3%
126 Boston Properties, Inc. 11,907
200 Cousins Properties, Inc. 5,142
44 Entertainment Properties Trust 1,960
45 Hospitality Properties Trust 1,726
103 LTC Properties, Inc. 2,067
121 Medical Properties Trust, Inc. 1,355
73 National Retail Properties, Inc. 1,581
90 Potlatch Corp. 3,932
129 Rayonier, Inc. 5,462
79 Senior Housing Properties Trust 1,365
-------------
36,497
-------------
ROAD & RAIL--3.2%
60 Arkansas Best Corp. 2,162
272 Avis Budget Group, Inc. (a) 6,982
90 Burlington Northern Santa Fe Corp. 7,393
193 Con-way, Inc. 9,532
228 CSX Corp. 10,809
107 Kansas City Southern (a) 3,693
195 Norfolk Southern Corp. 10,487
238 Ryder System, Inc. 12,940
67 Union Pacific Corp. 7,982
480 Werner Enterprises, Inc. 9,331
263 YRC Worldwide, Inc. (a) 8,448
-------------
89,759
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--4.4%
177 Advanced Energy Industries, Inc. (a) 3,135
66 Analog Devices, Inc. 2,340
387 Applied Materials, Inc. 8,529
26 ATMI, Inc. (a) 753
616 Axcelis Technologies, Inc. (a) 3,419
220 Brooks Automation, Inc. (a) 3,865
72 Cohu, Inc. 1,439
59 Exar Corp. (a) 834
97 Fairchild Semiconductor
International, Inc. (a) 1,770
216 Intel Corp. 5,102
104 International Rectifier Corp. (a) 3,818
60 Intersil Corp., Class A 1,755
151 Lam Research Corp. (a) 8,734
1,366 LSI Corp. (a) 9,835
75 Maxim Integrated Products, Inc. 2,378
304 Micrel, Inc. 3,146
51 Microchip Technology, Inc. 1,852
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
1,023 Micron Technology, Inc. (a) $ 12,144
144 MKS Instruments, Inc. (a) 3,269
452 Novellus Systems, Inc. (a) 12,892
211 Pericom Semiconductor Corp. (a) 2,253
269 Photronics, Inc. (a) 3,771
1,551 RF Micro Devices, Inc. (a) 10,764
241 Rudolph Technologies, Inc. (a) 3,772
107 Skyworks Solutions, Inc. (a) 847
69 Standard Microsystems Corp. (a) 2,304
292 Teradyne, Inc. (a) 4,581
1,148 TriQuint Semiconductor, Inc. (a) 5,074
-------------
124,375
-------------
SOFTWARE--0.6%
178 Advent Software, Inc. (a) 6,769
460 Captaris, Inc. (a) 2,360
142 Mentor Graphics Corp. (a) 1,705
59 Radiant Systems, Inc. (a) 820
162 Sybase, Inc. (a) 3,843
26 THQ, Inc. (a) 748
-------------
16,245
-------------
SPECIALTY RETAIL--3.9%
110 Aaron Rents, Inc. 2,543
219 AnnTaylor Stores Corp. (a) 6,881
457 AutoNation, Inc. (a) 8,901
151 Barnes & Noble, Inc. 5,066
97 Brown Shoe Co, Inc 2,031
88 Charlotte Russe Holding, Inc. (a) 1,564
894 Charming Shoppes, Inc. (a) 8,833
351 Finish Line (The), Inc., Class A 2,373
444 Foot Locker, Inc. 8,241
269 Gap (The), Inc. 4,627
40 Group 1 Automotive, Inc. 1,501
274 Haverty Furniture Cos., Inc. 3,055
141 Jo-Ann Stores, Inc. (a) 3,357
187 Limited Brands, Inc. 4,516
126 Lithia Motors, Inc., Class A 2,594
254 Office Depot, Inc. (a) 6,340
261 OfficeMax, Inc. 8,582
184 Payless ShoeSource, Inc. (a) 4,898
198 Pep Boys-Manny Moe & Jack (The) 3,352
295 Rent-A-Center, Inc. (a) 5,726
77 Sherwin-Williams (The) Co. 5,366
138 Sonic Automotive, Inc., Class A 3,781
131 Stein Mart, Inc. 1,410
99 Zale Corp. (a) 2,102
-------------
107,640
-------------
TEXTILES, APPAREL & LUXURY
GOODS--0.6%
69 Hanesbrands, Inc. (a) 2,140
28 Kellwood Co. 718
95 Movado Group, Inc. 2,683
|
Page 84 See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TEXTILES, APPAREL & LUXURY
GOODS (CONTINUED)
72 Oxford Industries, Inc. $ 2,909
55 Skechers U.S.A., Inc., Class A (a) 1,143
116 Stride Rite (The) Corp. 2,363
91 UniFirst Corp. 3,418
-------------
15,374
-------------
THRIFTS & MORTGAGE FINANCE
--2.2%
30 Anchor BanCorp Wisconsin, Inc 671
75 Astoria Financial Corp. 1,766
117 BankUnited Financial Corp., Class A 1,970
136 Corus Bankshares, Inc. 2,211
59 Dime Community Bancshares 660
61 Downey Financial Corp. 3,245
296 First Niagara Financial Group, Inc. 3,807
71 FirstFed Financial Corp. (a) 3,209
266 Flagstar Bancorp, Inc. 2,846
297 Fremont General Corp. (a) 1,714
332 IndyMac Bancorp, Inc. 7,304
43 MAF Bancorp, Inc. 2,258
225 MGIC Investment Corp. 8,698
217 PMI Group (The), Inc. 7,393
179 Radian Group, Inc. 6,034
80 Triad Guaranty, Inc. (a) 2,206
77 Washington Federal, Inc. 1,735
120 Washington Mutual, Inc. 4,504
-------------
62,231
-------------
TOBACCO--0.2%
36 Altria Group, Inc. 2,393
38 Reynolds American, Inc. 2,324
-------------
4,717
-------------
TRADING COMPANIES & DISTRIBUTORS
--0.6%
27 Applied Industrial Technologies, Inc. 767
79 GATX Corp. 3,583
51 Kaman Corp. 1,708
297 United Rentals, Inc. (a) 9,546
-------------
15,604
-------------
WATER UTILITIES--0.1%
45 American States Water Co. 1,660
-------------
WIRELESS TELECOMMUNICATION
SERVICES--0.9%
112 ALLTEL Corp. $ 7,386
495 Sprint Nextel Corp. 10,162
124 Telephone and Data Systems, Inc. 8,233
-------------
25,781
-------------
TOTAL INVESTMENTS--100.2%
(Cost $3,134,218) 2,799,969
NET OTHER ASSETS AND
LIABILITIES--(0.2%) (4,578)
-------------
NET ASSETS--100.0% $ 2,795,391
=============
|
(a) Non-income producing security.
See Notes to Financial Statements Page 85
First Trust Multi Cap Growth AlphaDEX(TM) Fund
Portfolio of Investments
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS--99.4%
AEROSPACE & DEFENSE--3.8%
330 Alliant Techsystems, Inc. (a) $ 32,706
354 Boeing (The) Co. 36,614
213 Ceradyne, Inc. (a) 15,896
405 Cubic Corp. 11,150
263 Curtiss-Wright Corp. 11,459
443 DRS Technologies, Inc. 23,195
477 EDO Corp. 15,765
326 General Dynamics Corp. 25,611
449 L-3 Communications Holdings, Inc. 43,804
213 Moog, Inc., Class A (a) 9,121
360 Precision Castparts Corp. 49,342
240 Rockwell Collins, Inc. 16,488
342 Teledyne Technologies, Inc. (a) 15,175
360 United Technologies Corp. 26,269
-------------
332,595
-------------
AIR FREIGHT & LOGISTICS--0.5%
486 C.H. Robinson Worldwide, Inc. 23,643
180 Forward Air Corp. 6,133
447 Hub Group, Inc., Class A (a) 15,207
-------------
44,983
-------------
AIRLINES--0.2%
1,160 AirTran Holdings, Inc. (a) 11,415
539 JetBlue Airways Corp. (a) 5,309
-------------
16,724
-------------
AUTO COMPONENTS--0.3%
285 Drew Industries, Inc. (a) 9,912
965 Gentex Corp. 19,049
-------------
28,961
-------------
AUTOMOBILES--0.1%
141 Thor Industries, Inc. 5,784
-------------
BEVERAGES--0.5%
117 Brown-Forman Corp., Class B 7,773
162 Coca-Cola (The) Co. 8,442
294 Hansen Natural Corp. (a) 11,922
506 Pepsi Bottling Group (The), Inc. 16,931
-------------
45,068
-------------
BIOTECHNOLOGY--1.5%
318 Biogen Idec, Inc. (a) 17,980
297 Celgene Corp. (a) 17,986
315 Cephalon, Inc. (a) 23,669
204 Digene Corp. (a) 12,495
132 Genzyme Corp. (a) 8,325
659 Gilead Sciences, Inc. (a) 24,536
236 Martek Biosciences Corp. (a) 6,046
815 PDL BioPharma, Inc. (a) 19,144
-------------
130,181
-------------
BUILDING PRODUCTS--0.6%
741 American Standard Cos., Inc. $ 40,051
192 NCI Building Systems, Inc. (a) 9,285
90 Simpson Manufacturing Co., Inc. 3,045
-------------
52,381
-------------
CAPITAL MARKETS--3.8%
536 Ameriprise Financial, Inc. 32,305
414 Charles Schwab (The) Corp. 8,334
743 Eaton Vance Corp. 31,102
222 Federated Investors, Inc., Class B 7,994
257 Franklin Resources, Inc. 32,734
201 Goldman Sachs Group (The), Inc. 37,857
141 Investment Technology Group, Inc. (a) 5,634
1,222 Janus Capital Group, Inc. 36,734
456 Lehman Brothers Holdings, Inc. 28,272
264 Northern Trust Corp. 16,489
408 Nuveen Investments, Inc., Class A 24,945
204 Raymond James Financial, Inc. 6,257
249 State Street Corp. 16,690
656 T. Rowe Price Group, Inc. 34,197
488 Waddell & Reed Financial, Inc.,
Class A 12,302
-------------
331,846
-------------
CHEMICALS--1.7%
530 Airgas, Inc. 24,751
489 International Flavors & Fragrances, Inc. 24,504
189 Minerals Technologies, Inc. 12,223
647 Monsanto Co. 41,699
473 Praxair, Inc. 36,241
200 Sigma-Aldrich Corp. 9,064
-------------
148,482
-------------
COMMERCIAL BANKS--1.0%
84 City National Corp. 5,946
689 Commerce Bancorp, Inc. 23,047
369 Compass Bancshares, Inc. 25,564
78 East West Bancorp, Inc. 2,859
114 First Republic Bank 6,242
239 SVB Financial Group (a) 12,591
276 Synovus Financial Corp. 7,717
-------------
83,966
-------------
COMMERCIAL SERVICES &
SUPPLIES--2.0%
92 Administaff, Inc. 3,008
330 Brady Corp., Class A 11,547
216 Cintas Corp. 7,897
207 Copart, Inc. (a) 5,825
123 Dun & Bradstreet (The) Corp. 12,024
575 Equifax, Inc. 23,264
320 Healthcare Services Group, Inc. 8,870
240 Heidrick & Struggles International,
Inc. (a) 12,898
500 Interface, Inc., Class A 9,215
|
Page 86 See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES &
SUPPLIES (CONTINUED)
965 Korn/Ferry International (a) $ 22,803
680 Labor Ready, Inc. (a) 16,021
210 Mobile Mini, Inc. (a) 6,000
428 Stericycle, Inc. (a) 20,518
285 Tetra Tech, Inc. (a) 5,994
243 Watson Wyatt Worldwide, Inc.,
Class A 10,826
-------------
176,710
-------------
COMMUNICATIONS EQUIPMENT
--3.9%
893 Arris Group, Inc. (a) 13,234
2,598 Avaya, Inc. (a) 42,971
219 Avocent Corp. (a) 5,990
123 Blue Coat Systems, Inc. (a) 5,994
671 C-COR, Inc. (a) 9,025
941 Ciena Corp. (a) 34,375
917 Cisco Systems, Inc. (a) 26,510
563 CommScope, Inc. (a) 30,644
264 Comtech Telecommunications
Corp. (a) 11,476
665 Corning, Inc. (a) 15,854
374 Ditech Networks, Inc. (a) 2,790
315 F5 Networks, Inc. (a) 27,307
465 Harris Corp. 25,519
1,352 Juniper Networks, Inc. (a) 40,506
434 NETGEAR, Inc. (a) 12,004
725 Plantronics, Inc. 20,315
377 Polycom, Inc. (a) 11,676
195 QUALCOMM, Inc. 8,122
96 ViaSat, Inc. (a) 2,748
-------------
347,060
-------------
COMPUTERS & PERIPHERALS--3.4%
359 Apple, Inc. (a) 47,302
1,192 Dell, Inc. (a) 33,340
363 Diebold, Inc. 18,393
2,416 EMC Corp. (a) 44,720
243 International Business Machines Corp. 26,888
296 Komag, Inc. (a) 9,475
647 NCR Corp. (a) 33,786
603 Novatel Wireless, Inc. (a) 12,983
521 SanDisk Corp. (a) 27,941
261 Stratasys, Inc. (a) 11,487
1,618 Sun Microsystems, Inc. (a) 8,252
264 Synaptics, Inc. (a) 9,272
654 Western Digital Corp. (a) 13,963
-------------
297,802
-------------
CONSTRUCTION & ENGINEERING
--1.6%
393 Fluor Corp. 45,396
512 Granite Construction, Inc. 33,275
CONSTRUCTION & ENGINEERING
(CONTINUED)
570 Jacobs Engineering Group, Inc. (a) $ 35,129
1,070 Quanta Services, Inc. (a) 30,420
-------------
144,220
-------------
CONSTRUCTION MATERIALS--0.4%
156 Martin Marietta Materials, Inc. 21,372
149 Vulcan Materials Co. 14,262
-------------
35,634
-------------
CONSUMER FINANCE--0.7%
278 American Express Co. 16,274
108 Capital One Financial Corp. 7,642
402 First Cash Financial Services,
Inc. (a) 8,760
591 SLM Corp. (a) 29,060
144 World Acceptance Corp. (a) 4,635
-------------
66,371
-------------
CONTAINERS & PACKAGING--0.5%
824 Ball Corp. 42,246
-------------
DISTRIBUTORS--0.3%
380 Keystone Automotive Industries,
Inc. (a) 17,769
497 LKQ Corp. (a) 14,130
-------------
31,899
-------------
DIVERSIFIED CONSUMER SERVICES--2.5%
437 Apollo Group, Inc., Class A (a) 25,832
158 Bright Horizons Family Solutions,
Inc. (a) 6,130
188 Career Education Corp. (a) 5,580
779 Corinthian Colleges, Inc. (a) 10,493
746 DeVry, Inc. 24,170
363 H&R Block, Inc. 7,242
279 ITT Educational Services, Inc. (a) 29,480
411 Laureate Education, Inc. (a) 25,342
291 Matthews International Corp., Class A 11,134
191 Pre-Paid Legal Services, Inc. (a) 10,066
551 Sotheby's 23,555
144 Strayer Education, Inc. 21,820
240 Universal Technical Institute, Inc. (a) 5,191
252 Vertrue, Inc. (a) 12,451
-------------
218,486
-------------
DIVERSIFIED FINANCIAL SERVICES
--0.2%
180 Leucadia National Corp. 6,768
261 Portfolio Recovery Associates,
Inc. (a) 13,637
-------------
20,405
-------------
|
See Notes to Financial Statements Page 87
First Trust Multi Cap Growth AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED TELECOMMUNICATION
SERVICES--0.3%
4,384 Cincinnati Bell, Inc. (a) $ 22,621
-------------
ELECTRIC UTILITIES--0.6%
165 Allegheny Energy, Inc. (a) 8,618
606 Edison International 32,051
234 Exelon Corp. 16,415
-------------
57,084
-------------
ELECTRICAL EQUIPMENT--1.9%
204 Acuity Brands, Inc. 12,056
638 AMETEK, Inc. 24,895
767 Cooper Industries Ltd., Class A 40,589
545 Emerson Electric Co. 25,652
245 Rockwell Automation, Inc. 17,148
222 Roper Industries, Inc. 13,316
327 Thomas & Betts Corp. (a) 20,209
293 Woodward Governor Co. 16,921
-------------
170,786
-------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS--2.6%
432 Aeroflex, Inc. (a) 6,061
222 Agilent Technologies, Inc. (a) 8,469
710 Amphenol Corp., Class A 24,325
386 CDW Corp. (a) 32,489
243 Checkpoint Systems, Inc. (a) 5,606
264 FLIR Systems, Inc. (a) 11,524
78 Itron, Inc. (a) 6,196
386 Jabil Circuit, Inc. 8,697
549 LoJack Corp. (a) 11,705
210 MTS Systems Corp. 8,768
584 National Instruments Corp. 18,892
491 ScanSource, Inc. (a) 13,174
548 Technitrol, Inc. 14,248
756 Tektronix, Inc. 24,834
381 Trimble Navigation Ltd. (a) 12,584
1,208 TTM Technologies, Inc. (a) 15,752
414 X-Rite, Inc. (a) 5,589
-------------
228,913
-------------
ENERGY EQUIPMENT & SERVICES
--6.7%
228 Atwood Oceanics, Inc. (a) 15,641
459 Cameron International Corp. (a) 35,802
140 CARBO Ceramics, Inc. 6,311
210 Dril-Quip, Inc. (a) 10,078
320 FMC Technologies, Inc. (a) 29,286
353 Grant Prideco, Inc. (a) 19,803
315 Hornbeck Offshore Services, Inc. (a) 13,561
785 Input/Output, Inc. (a) 11,186
189 Lufkin Industries, Inc. 11,191
632 Matrix Service Co. (a) 14,593
764 Nabors Industries Ltd. (a) 22,339
ENERGY EQUIPMENT & SERVICES
(CONTINUED)
420 National Oilwell Varco, Inc. (a) $ 50,446
449 Noble Corp. 46,005
299 Oceaneering International, Inc. (a) 16,792
725 Patterson-UTI Energy, Inc. 16,603
677 Pride International, Inc. (a) 23,729
515 Schlumberger Ltd. 48,781
746 Smith International, Inc. 45,812
635 Superior Energy Services, Inc. (a) 25,603
434 TETRA Technologies, Inc. (a) 12,070
413 Transocean, Inc. (a) 44,377
249 Unit Corp. (a) 13,710
791 Weatherford International Ltd. (a) 43,766
254 W-H Energy Services, Inc. (a) 16,276
-------------
593,761
-------------
FOOD & STAPLES RETAILING--0.6%
932 CVS Caremark Corp. 32,797
354 Wal-Mart Stores, Inc. 16,266
-------------
49,063
-------------
FOOD PRODUCTS--0.5%
270 Corn Products International, Inc. 12,047
348 Sanderson Farms, Inc. 13,875
308 Wm. Wrigley Jr. Co. 17,766
-------------
43,688
-------------
GAS UTILITIES--0.3%
129 Equitable Resources, Inc. 6,077
483 Questar Corp. 24,870
-------------
30,947
-------------
HEALTH CARE EQUIPMENT &
SUPPLIES--3.5%
215 ArthroCare Corp. (a) 10,883
453 Baxter International, Inc. 23,828
99 Beckman Coulter, Inc. 7,011
124 Biomet, Inc. (a) 5,646
761 Cytyc Corp. (a) 32,038
497 DENTSPLY International, Inc. 18,136
75 DJO, Inc. (a) 3,561
105 Gen-Probe, Inc. (a) 6,616
189 Greatbatch, Inc. (a) 5,865
117 Haemonetics Corp. (a) 5,782
195 Hillenbrand Industries, Inc. 12,293
111 Hologic, Inc. (a) 5,750
143 ICU Medical, Inc. (a) 4,753
99 IDEXX Laboratories, Inc. (a) 9,926
110 Immucor, Inc. (a) 3,428
191 Integra LifeSciences Holdings (a) 9,483
183 Intuitive Surgical, Inc. (a) 38,907
435 Meridian Bioscience, Inc. 9,714
231 PolyMedica Corp. 9,330
144 Respironics, Inc. (a) 6,588
615 St. Jude Medical, Inc. (a) 26,531
|
Page 88 See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT &
SUPPLIES (CONTINUED)
621 STERIS Corp. $ 16,984
270 Stryker Corp. 16,856
189 SurModics, Inc. (a) 8,669
54 Vital Signs, Inc 2,809
99 Zimmer Holdings, Inc. (a) 7,698
-------------
309,085
-------------
HEALTH CARE PROVIDERS &
SERVICES--5.5%
336 Amedisys, Inc. (a) 12,718
279 AMN Healthcare Services, Inc. (a) 5,990
126 AmSurg Corp. (a) 3,168
219 Apria Healthcare Group, Inc. (a) 5,742
362 Cardinal Health, Inc. 23,794
285 Centene Corp. (a) 6,159
651 CIGNA Corp. 33,618
626 Community Health Systems, Inc. (a) 24,351
443 Coventry Health Care, Inc. (a) 24,724
725 CryoLife, Inc. (a) 6,924
875 Express Scripts, Inc. (a) 43,863
240 Health Net, Inc. (a) 11,890
531 HealthExtras, Inc. (a) 14,247
129 Healthways, Inc. (a) 5,637
237 Henry Schein, Inc. (a) 12,879
558 Humana, Inc. (a) 35,762
168 inVentiv Health, Inc. (a) 5,961
218 Laboratory Corp. of America
Holdings (a) 16,099
333 LCA-Vision, Inc. 11,825
159 Lincare Holdings, Inc. (a) 5,675
671 Manor Care, Inc. 42,508
1,019 Option Care, Inc. 19,758
228 Patterson Cos., Inc. (a) 8,178
56 Pediatrix Medical Group, Inc. (a) 3,022
174 Psychiatric Solutions, Inc. (a) 5,932
294 Sierra Health Services, Inc. (a) 11,948
333 UnitedHealth Group, Inc. 16,127
309 Universal Health Services, Inc., Class B 16,204
336 VCA Antech, Inc. (a) 13,218
363 WellCare Health Plans, Inc. (a) 36,757
-------------
484,678
-------------
HEALTH CARE TECHNOLOGY--0.4%
342 Cerner Corp. (a) 18,082
794 IMS Health, Inc. 22,335
-------------
40,417
-------------
HOTELS, RESTAURANTS & LEISURE
--1.8%
194 Darden Restaurants, Inc. 8,259
200 Harrah's Entertainment, Inc. 16,938
509 Hilton Hotels Corp. 22,503
132 Jack in the Box, Inc. (a) 8,447
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
671 McDonald's Corp. $ 32,120
114 Monarch Casino & Resort, Inc. (a) 3,225
213 Papa John's International, Inc. (a) 5,843
303 Red Robin Gourmet Burgers, Inc. (a) 11,687
360 Ruth's Chris Steak House, Inc. (a) 6,019
180 Scientific Games Corp., Class A (a) 6,176
240 Texas Roadhouse, Inc. (a) 2,849
327 WMS Industries, Inc. (a) 8,531
779 Yum! Brands, Inc. 24,959
-------------
157,556
-------------
HOUSEHOLD DURABLES--1.2%
96 Black & Decker (The) Corp. 8,311
953 Blyth, Inc. 21,271
291 Harman International Industries, Inc. 33,756
326 Mohawk Industries, Inc. (a) 29,343
27 NVR, Inc. (a) 15,619
-------------
108,300
-------------
HOUSEHOLD PRODUCTS--0.6%
261 Church & Dwight Co., Inc. 12,805
330 Energizer Holdings, Inc. (a) 33,296
93 WD-40 Co. 3,087
-------------
49,188
-------------
INDEPENDENT POWER PRODUCERS
& ENERGY TRADERS--0.5%
777 AES (The) Corp. (a) 15,268
390 Constellation Energy Group 32,682
-------------
47,950
-------------
INDUSTRIAL CONGLOMERATES--0.7%
408 Carlisle Cos., Inc. 18,474
222 General Electric Co. 8,605
401 Teleflex, Inc. 30,648
-------------
57,727
-------------
INSURANCE--0.9%
165 AFLAC, Inc. 8,600
122 American International Group, Inc. 7,830
57 Everest Re Group Ltd. 5,600
569 HCC Insurance Holdings, Inc. 16,660
60 Infinity Property & Casualty Corp. 2,642
396 MetLife, Inc. 23,848
72 Philadelphia Consolidated Holding
Co. (a) 2,602
120 StanCorp Financial Group, Inc. 5,635
96 Tower Group, Inc. 2,544
-------------
75,961
-------------
INTERNET & CATALOG RETAIL--0.9%
639 Amazon.com, Inc. (a) 50,186
260 Blue Nile, Inc. (a) 19,659
|
See Notes to Financial Statements Page 89
First Trust Multi Cap Growth AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET & CATALOG RETAIL
(CONTINUED)
734 PetMed Express, Inc. (a) $ 10,702
-------------
80,547
-------------
INTERNET SOFTWARE & SERVICES--0.9%
255 Bankrate, Inc. (a) 11,437
66 Google, Inc., Class A (a) 33,660
351 j2 Global Communications, Inc. (a) 11,457
1,114 ValueClick, Inc. (a) 23,817
-------------
80,371
-------------
IT SERVICES--2.2%
300 Affiliated Computer Services,
Inc., Class A (a) 16,098
425 Alliance Data Systems Corp. (a) 32,640
63 CACI International Inc., Class A (a) 2,800
362 Ceridian Corp. (a) 12,272
81 DST Systems, Inc. (a) 6,145
174 eFunds Corp. (a) 6,221
806 Fidelity National Information
Services, Inc. 40,001
521 First Data Corp. 16,563
449 Fiserv, Inc. (a) 22,190
773 Gartner, Inc. (a) 16,179
71 MAXIMUS, Inc. 2,967
285 SI International, Inc. (a) 8,302
645 Sykes Enterprises, Inc. (a) 10,797
-------------
193,175
-------------
LEISURE EQUIPMENT & PRODUCTS
--0.2%
174 Polaris Industries, Inc. 8,589
314 Pool Corp. 10,553
-------------
19,142
-------------
LIFE SCIENCES TOOLS & SERVICES
--2.6%
368 Charles River Laboratories
International, Inc. (a) 18,834
185 Covance, Inc. (a) 13,055
87 Dionex Corp. (a) 5,917
171 Invitrogen Corp. (a) 12,278
255 Kendle International, Inc. (a) 9,422
339 Millipore Corp. (a) 26,649
374 PAREXEL International Corp. (a) 15,121
330 Pharmaceutical Product
Development, Inc. 11,055
296 Pharmanet Development Group, Inc. (a) 8,288
657 Thermo Fisher Scientific, Inc. (a) 34,302
231 Varian, Inc. (a) 13,892
425 Ventana Medical Systems, Inc. (a) 35,420
429 Waters Corp. (a) 24,994
-------------
229,227
-------------
MACHINERY--6.0%
290 Astec Industries, Inc. (a) $ 15,129
177 A.S.V., Inc. (a) 2,582
201 Cascade Corp. 13,626
435 Caterpillar, Inc. 34,278
164 CLARCOR, Inc 5,706
419 Crane Co. 19,215
225 Danaher Corp. 16,803
362 Deere & Co. 43,591
144 EnPro Industries, Inc. (a) 5,671
458 Flowserve Corp. 33,100
369 Gardner Denver, Inc. (a) 15,347
318 IDEX Corp. 11,515
641 ITT Corp. 40,306
326 Joy Global, Inc. 16,134
180 Kaydon Corp. 9,578
441 Lincoln Electric Holdings, Inc. 31,748
354 Lindsay Corp. 14,394
195 Manitowoc (The) Co., Inc. 15,146
521 Oshkosh Truck Corp. 29,827
950 Pall Corp. 39,444
177 Robbins & Myers, Inc. 9,333
374 SPX Corp. 35,107
539 Terex Corp. (a) 46,488
207 Toro (The) Co. 11,638
168 Valmont Industries, Inc. 12,699
-------------
528,405
-------------
MARINE--0.1%
246 Kirby Corp. (a) 9,965
-------------
MEDIA--1.4%
120 Arbitron, Inc. 5,976
450 Clear Channel Communications, Inc. 16,605
908 Comcast Corp., Class A (a) 23,854
525 John Wiley & Sons, Inc., Class A 22,202
126 McGraw-Hill (The) Cos., Inc. 7,623
414 Meredith Corp. 23,387
161 Omnicom Group, Inc. 8,351
369 Valassis Communications, Inc. (a) 4,380
204 Viacom, Inc., Class B (a) 7,813
-------------
120,191
-------------
METALS & MINING--1.8%
324 Allegheny Technologies, Inc. 33,997
219 Chaparral Steel Co. 18,405
201 Cleveland-Cliffs, Inc. 13,923
971 Commercial Metals Co. 29,946
144 Nucor Corp. 7,229
584 Reliance Steel & Aluminum Co. 30,683
42 RTI International Metals, Inc. (a) 3,328
605 Steel Dynamics, Inc. 25,368
-------------
162,879
-------------
MULTILINE RETAIL--1.9%
483 99 Cents Only Stores (a) 5,878
1,157 Big Lots, Inc. (a) 29,920
|
Page 90 See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL (CONTINUED)
753 Dollar Tree Stores, Inc. (a) $ 28,810
1,274 Family Dollar Stores, Inc. 37,736
240 Kohl's Corp. (a) 14,592
333 Nordstrom, Inc. 15,844
534 Target Corp. 32,344
-------------
165,124
-------------
OFFICE ELECTRONICS--0.1%
164 Zebra Technologies Corp.,
Class A (a) 5,942
-------------
OIL, GAS & CONSUMABLE FUELS
--4.5%
654 Anadarko Petroleum Corp. 32,916
312 Apache Corp. 25,222
84 Cabot Oil & Gas Corp. 2,873
983 Chesapeake Energy Corp. 33,461
185 CONSOL Energy, Inc. 7,705
507 Denbury Resources, Inc. (a) 20,280
218 Devon Energy Corp. 16,265
305 Exxon Mobil Corp. 25,965
749 Frontier Oil Corp. 29,009
306 Helix Energy Solutions Group,
Inc. (a) 11,919
572 Murphy Oil Corp. 35,486
351 Peabody Energy Corp. 14,833
129 Pioneer Natural Resources Co. 5,870
285 Quicksilver Resources, Inc. (a) 12,004
428 Southwestern Energy Co. (a) 17,390
549 Sunoco, Inc. 36,628
221 Swift Energy Co. (a) 9,446
806 Williams (The) Cos., Inc. 25,994
146 World Fuel Services Corp. 5,970
566 XTO Energy, Inc. 30,864
-------------
400,100
-------------
PERSONAL PRODUCTS--0.4%
231 Avon Products, Inc. 8,318
96 Chattem, Inc. (a) 5,391
186 Estee Lauder (The) Cos., Inc.,
Class A 8,375
386 Mannatech, Inc. 3,632
147 NBTY, Inc. (a) 6,400
69 USANA Health Sciences, Inc. (a) 2,785
-------------
34,901
-------------
PHARMACEUTICALS--1.6%
170 Barr Pharmaceuticals, Inc. (a) 8,707
141 Bradley Prarmaceuticals, Inc. (a) 2,262
186 Endo Pharmaceuticals Holdings, Inc. (a) 6,326
131 Noven Pharmaceuticals, Inc. (a) 2,327
674 Par Pharmaceutical Cos., Inc. (a) 15,967
1,436 Schering-Plough Corp. 40,982
129 Sciele Pharma, Inc. (a) 2,992
PHARMACEUTICALS (CONTINUED)
1,345 Watson Pharmaceuticals, Inc. (a) $ 40,915
444 Wyeth 21,543
-------------
142,021
-------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT--0.4%
932 CB Richard Ellis Group, Inc.,
Class A (a) 32,545
-------------
ROAD & RAIL--0.6%
188 Heartland Express, Inc. 2,803
648 J.B. Hunt Transport Services, Inc. 18,098
486 Knight Transportation, Inc. 8,573
195 Landstar System, Inc. 8,865
407 Old Dominion Freight Line, Inc. (a) 11,746
-------------
50,085
-------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT--3.6%
1,153 Altera Corp. 26,750
752 AMIS Holdings, Inc. (a) 7,753
87 Cabot Microelectronics Corp. (a) 3,709
246 Cree, Inc. (a) 6,303
75 Cymer, Inc. (a) 3,206
1,409 Cypress Semiconductor Corp. (a) 35,310
441 Diodes, Inc. (a) 11,717
93 FEI Co. (a) 2,667
464 KLA-Tencor Corp. 26,351
234 Linear Technology Corp. 8,342
557 MEMC Electronic Materials, Inc. (a) 34,155
129 Microsemi Corp. (a) 3,007
602 National Semiconductor Corp. 15,646
1,058 NVIDIA Corp. (a) 48,413
2,200 PMC-Sierra, Inc. (a) 16,764
731 Semtech Corp. (a) 11,879
905 Texas Instruments, Inc. 31,847
306 Varian Semiconductor Equipment
Associates, Inc. (a) 14,382
318 Xilinx, Inc. 7,950
-------------
316,151
-------------
SOFTWARE--3.6%
105 Ansoft Corp. (a) 2,655
231 ANSYS, Inc. (a) 6,015
722 Autodesk, Inc. (a) 30,591
330 CA, Inc. 8,276
578 Cadence Design Systems, Inc. (a) 12,369
252 Citrix Systems, Inc. (a) 9,115
687 Concur Technologies, Inc. (a) 16,392
633 Epicor Software Corp. (a) 8,267
971 EPIQ Systems, Inc. (a) 16,556
138 FactSet Research Systems, Inc. 9,107
414 Informatica Corp. (a) 5,771
737 Jack Henry & Associates, Inc. 17,703
624 JDA Software Group, Inc. (a) 14,109
|
See Notes to Financial Statements Page 91
First Trust Multi Cap Value AlphaDEX(TM) Fund
Portfolio of Investments (Continued)
July 31, 2007
SHARES DESCRIPTION MARKET VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
632 Macrovision Corp. (a) $ 15,029
110 Manhattan Associates, Inc. (a) 3,066
719 McAfee, Inc. (a) 25,783
57 MICROS Systems, Inc. (a) 3,037
288 Microsoft Corp. 8,349
1,726 Oracle Corp. (a) 33,001
1,172 Parametric Technology Corp. (a) 20,662
81 Quality Systems, Inc. 3,138
213 SPSS, Inc. (a) 8,742
1,262 Symantec Corp. (a) 24,230
240 Synopsys, Inc. (a) 5,870
1,151 Wind River Systems, Inc. (a) 11,004
-------------
318,837
-------------
SPECIALTY RETAIL--4.9%
234 Abercrombie & Fitch Co., Class A 16,357
468 Advance Auto Parts, Inc. 16,272
608 Aeropostale, Inc. (a) 23,153
249 AutoZone, Inc. (a) 31,575
240 Big 5 Sporting Goods Corp. 5,129
746 CarMax, Inc. (a) 17,852
140 Cato (The) Corp., Class A 2,895
119 Children's Place Retail Stores
(The), Inc. (a) 4,059
179 Christopher & Banks Corp. 2,671
273 Coldwater Creek, Inc. (a) 5,375
435 Dick's Sporting Goods, Inc. (a) 24,460
150 Dress Barn (The), Inc. (a) 2,729
839 GameStop Corp., Class A (a) 33,853
300 Genesco, Inc. (a) 15,165
158 Guitar Center, Inc. (a) 9,172
240 Gymboree (The) Corp. (a) 10,332
111 Hibbett Sports, Inc. (a) 2,845
432 Home Depot (The), Inc. 16,057
378 Jos. A. Bank Clothiers, Inc. (a) 13,041
240 Men's Wearhouse (The), Inc. 11,856
347 O'Reilly Automotive, Inc. (a) 11,559
576 Pacific Sunwear of California,
Inc. (a) 10,380
390 PetSmart, Inc. 12,609
1,319 RadioShack Corp. 33,145
206 Ross Stores, Inc. 5,960
189 Select Comfort Corp. (a) 3,013
291 Stage Stores, Inc. 5,191
824 Tiffany & Co. 39,757
618 TJX (The) Cos., Inc. 17,150
236 Tractor Supply Co. (a) 11,215
275 Tween Brands, Inc. (a) 10,522
264 Urban Outfitters, Inc. (a) 5,296
-------------
430,645
-------------
TEXTILES, APPAREL & LUXURY
GOODS--2.4%
359 Coach, Inc. (a) $ 16,320
365 Crocs, Inc. (a) 21,652
156 Deckers Outdoor Corp. (a) 16,084
416 Fossil, Inc. (a) 10,629
423 Iconix Brand Group, Inc. (a) 8,367
584 NIKE, Inc., Class B 32,967
419 Phillips-Van Heusen Corp. 21,813
446 Polo Ralph Lauren Corp. 39,849
434 Quiksilver, Inc. (a) 5,568
279 VF Corp. 23,935
314 Volcom, Inc. (a) 11,141
111 Wolverine World Wide, Inc. 3,004
-------------
211,329
-------------
THRIFTS & MORTGAGE FINANCE--0.2%
468 Countrywide Financial Corp. 13,184
141 Freddie Mac 8,075
-------------
21,259
-------------
TRADING COMPANIES & DISTRIBUTORS
--1.0%
303 Fastenal Co. 13,656
461 MSC Industrial Direct Co., Inc. 23,184
174 Watsco, Inc. 8,684
470 W.W. Grainger, Inc. 41,058
-------------
86,582
-------------
TOTAL INVESTMENTS--99.4%
(Cost $9,333,411) 8,768,952
NET OTHER ASSETS AND
LIABILITIES--0.6% 49,150
-------------
NET ASSETS--100.0% $ 8,818,102
=============
|
(a) Non-income producing security.
Page 92 See Notes to Financial Statements
This page intentionally left blank.
Page 93
First Trust Exchange-Traded AlphaDEX(TM) Fund
Statement of Assets and Liabilities
July 31, 2007
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND
------------------- ------------------- -----------------
ASSETS:
Investments at value .................................................. $ 1,908,093 $ 2,889,611 $ 5,209,919
Cash ................................................................. 16,016 6,539 6,013
Receivables:
Dividends....................................................... 415 2,752 1,001
From investment advisor......................................... 18,187 18,374 18,867
------------- ------------- -------------
TOTAL ASSETS................................................. 1,942,711 2,917,276 5,235,800
------------- ------------- -------------
LIABILITIES:
Payables:
Investment securities purchased ................................. 9,930 -- --
Investment advisory fees ........................................ 854 1,271 1,322
Accrued expenses and other liabilities ................................ 49,101 49,519 49,991
------------- ------------- -------------
TOTAL LIABILITIES............................................. 59,885 50,790 51,313
------------- ------------- -------------
NET ASSETS............................................................. $ 1,882,826 $ 2,866,486 $ 5,184,487
============= ============= =============
NET ASSETS CONSIST OF:
Paid-in capital ....................................................... $ 1,999,040 $ 3,021,090 $ 5,434,348
Par value ............................................................. 1,000 1,500 2,500
Accumulated net investment income (loss) .............................. 188 5,552 --
Accumulated net realized gain (loss) on investments ................... (2,459) (3,068) 892
Net unrealized appreciation (depreciation) on investments ............. (114,943) (158,588) (253,253)
------------- ------------- -------------
NET ASSETS ............................................................ $ 1,882,826 $ 2,866,486 $ 5,184,487
============= ============= =============
NET ASSET VALUE, per share............................................ $ 18.83 $ 19.11 $ 20.74
============= ============= =============
Number of shares outstanding
(unlimited number of shares authorized, par value $0.01 per share)..... 100,002 150,002 250,002
------------- ------------- -------------
Investments at cost ................................................... $ 2,023,036 $ 3,048,199 $ 5,463,172
============= ============= =============
|
Page 94 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY
ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND
------------------- ------------------- ------------------- ------------------- -------------------
$ 1,814,396 $ 1,914,694 $ 4,731,249 $ 2,962,655 $ 2,174,207
6,875 65,443 19,179 93,839 6,196
1,407 170 164 1,069 415
18,182 18,186 18,833 18,388 18,237
------------- ------------- ------------- ------------- -------------
1,840,860 1,998,493 4,769,425 3,075,951 2,199,055
------------- ------------- ------------- ------------- -------------
-- -- -- -- --
825 847 1,201 1,328 944
49,074 49,114 49,905 49,516 49,175
------------- ------------- ------------- ------------- -------------
49,899 49,961 51,106 50,844 50,119
------------- ------------- ------------- ------------- -------------
$ 1,790,961 $ 1,948,532 $ 4,718,319 $ 3,025,107 $ 2,148,936
============= ============= ============= ============= =============
$ 1,999,040 $ 1,997,615 $ 5,016,552 $ 3,080,728 $ 2,157,238
1,000 1,000 2,500 1,500 1,050
6,584 -- -- 2,537 --
(3,175) (25,010) (34,546) (5,616) (13,344)
(212,488) (25,073) (266,187) (54,042) 3,992
------------- ------------- ------------- ------------- -------------
$ 1,790,961 $ 1,948,532 $ 4,718,319 $ 3,025,107 $ 2,148,936
============= ============= ============= ============= =============
$ 17.91 $ 19.48 $ 18.87 $ 20.17 $ 20.47
============= ============= ============= ============= =============
100,002 100,002 250,002 150,002 105,000
------------- ------------- ------------- ------------- -------------
$ 2,026,884 $ 1,939,767 $ 4,997,436 $ 3,016,697 $ 2,170,215
============= ============= ============= ============= =============
|
See Notes to Financial Statements Page 95
First Trust Exchange-Traded AlphaDEX(TM) Fund
Statement of Assets and Liabilities (Continued)
July 31, 2007
FIRST TRUST FIRST TRUST
FIRST TRUST LARGE CAP MID CAP
UTILITIES CORE CORE
ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND
------------------- ------------------- ------------------
ASSETS:
Investments at value .................................................. $ 2,774,096 $ 2,878,457 $ 5,678,775
Cash ................................................................. 7,387 20,580 68,149
Receivables:
Dividends....................................................... 7,019 1,663 2,575
From investment advisor......................................... 18,378 18,343 18,794
------------- ------------- -------------
TOTAL ASSETS................................................. 2,806,880 2,919,043 5,768,293
------------- ------------- -------------
LIABILITIES:
Payables:
Investment securities purchased ................................. -- -- --
Investment advisory fees ........................................ 1,215 1,286 2,546
Accrued expenses and other liabilities ................................ 49,452 49,398 50,302
------------- ------------- -------------
TOTAL LIABILITIES............................................. 50,667 50,684 52,848
------------- ------------- -------------
NET ASSETS............................................................. $ 2,756,213 $ 2,868,359 $ 5,715,445
============= ============= =============
NET ASSETS consist of:
Paid-in capital ....................................................... $ 2,980,862 $ 3,122,966 $ 6,182,502
Par value ............................................................. 1,500 1,000 2,000
Accumulated net investment income (loss) .............................. 11,354 4,291 1,760
Accumulated net realized gain (loss) on investments ................... (945) (15,102) (16,286)
Net unrealized appreciation (depreciation) on investments ............. (236,558) (244,796) (454,531)
------------- ------------- -------------
NET ASSETS ............................................................ $ 2,756,213 $ 2,868,359 $ 5,715,445
============= ============= =============
NET ASSET VALUE, per share............................................ $ 18.37 $ 28.68 $ 28.58
============= ============= =============
Number of shares outstanding
(unlimited number of shares authorized, par value $0.01 per share)..... 150,002 100,002 200,002
------------- ------------- -------------
Investments at cost ................................................... $ 3,010,654 $ 3,123,253 $ 6,133,306
============= ============= =============
|
Page 96 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
SMALL CAP LARGE CAP VALUE LARGE CAP GROWTH FIRST TRUST FIRST TRUST
CORE OPPORTUNITIES OPPORTUNITIES MULTI CAP VALUE MULTI CAP GROWTH
ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND
------------------- ------------------- ------------------- ------------------- -------------------
$ 5,636,097 $ 5,671,104 $ 5,846,344 $ 2,799,969 $ 8,768,952
53,548 28,093 30,440 25,258 81,637
3,486 3,209 1,951 2,455 1,543
18,842 18,648 18,782 18,464 19,289
------------- ------------- -------------- ------------- -------------
5,711,973 5,721,054 5,897,517 2,846,146 8,871,421
------------- ------------- -------------- ------------- -------------
-- -- -- -- --
1,649 1,812 2,554 1,275 2,570
49,893 50,000 50,405 49,480 50,749
------------- ------------- -------------- ------------- -------------
51,542 51,812 52,959 50,755 53,319
------------- ------------- -------------- ------------- -------------
$ 5,660,431 $ 5,669,242 $ 5,844,558 $ 2,795,391 $ 8,818,102
============= ============= ============== ============= =============
$ 6,212,432 $ 6,196,418 $ 6,074,903 $ 3,130,837 $ 9,406,123
2,000 2,000 2,000 1,000 3,000
3,211 7,676 -- 6,372 --
(21,375) (5,338) -- (8,569) (26,562)
(535,837) (531,514) (232,345) (334,249) (564,459)
------------- ------------- -------------- ------------- -------------
$ 5,660,431 $ 5,669,242 $ 5,844,558 $ 2,795,391 $ 8,818,102
============= ============= ============== ============= =============
$ 28.30 $ 28.35 $ 29.22 $ 27.95 $ 29.39
============= ============= ============== ============= =============
200,002 200,002 200,002 100,002 300,002
------------- ------------- -------------- ------------- -------------
$ 6,171,934 $ 6,202,618 $ 6,078,689 $ 3,134,218 $ 9,333,411
============= ============= ============== ============= =============
|
See Notes to Financial Statements Page 97
First Trust Exchange-Traded AlphaDEX(TM) Fund
Statements of Operations
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND
------------------- ------------------ -----------------
For the Period For the Period For the Period
May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a)
through through through
July 31, 2007 July 31, 2007 July 31, 2007
------------------- ------------------ -----------------
INVESTMENT INCOME:
Dividends (b)......................................................... $ 3,390 $ 9,532 $ 3,775
-------------- -------------- --------------
Total investment income......................................... 3,390 9,532 3,775
-------------- -------------- --------------
EXPENSES:
Audit and tax fees.................................................... 31,000 31,000 31,000
Printing fees......................................................... 7,500 7,500 7,500
Legal fees............................................................ 5,685 5,685 5,685
Listing fees.......................................................... 2,562 2,704 2,986
Investment advisory fees.............................................. 2,287 2,843 2,821
Trustees' fees and expenses........................................... 605 647 788
Licensing fees........................................................ 457 569 564
Custodian fees........................................................ 444 458 458
Accounting and administration fees.................................... 229 284 282
Registration and filing fees.......................................... 62 92 165
Transfer agent fees................................................... 23 28 28
Other expenses........................................................ 1,267 1,267 1,267
-------------- -------------- --------------
Total expenses.................................................. 52,121 53,077 53,544
Less fees waived and expenses reimbursed by the
investment advisor........................................ (48,919) (49,097) (49,595)
-------------- -------------- --------------
Net expenses.................................................... 3,202 3,980 3,949
-------------- -------------- --------------
NET INVESTMENT INCOME (LOSS).......................................... 188 5,552 (174)
-------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments..................................................... (2,459) (3,068) 1,066
In-kind redemptions............................................. -- 20,666 90,156
-------------- -------------- --------------
Net realized gain (loss).............................................. (2,459) 17,598 91,222
Net change in unrealized appreciation (depreciation) on investments... (114,943) (158,588) (253,253)
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) .............................. (117,402) (140,990) (162,031)
-------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................................. $ (117,214) $ (135,438) $ (162,205)
============== ============== ==============
|
(a) Inception date.
(b) Net of foreign withholding tax of $15 for the First Trust Financials
AlphaDEX(TM) Fund.
Page 98 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY
ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND
---------------------- ---------------------- ---------------------- ---------------------- ----------------------
For the Period For the Period For the Period For the Period For the Period
May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a)
through through through through through
July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007
---------------------- ---------------------- ---------------------- ---------------------- ----------------------
$ 9,733 $ 1,752 $ 2,951 $ 6,416 $ 1,145
------------------ ------------------ ------------------ ------------------ ------------------
9,733 1,752 2,951 6,416 1,145
------------------ ------------------ ------------------ ------------------ ------------------
31,000 31,000 31,000 31,000 31,000
7,500 7,500 7,500 7,500 7,500
5,685 5,685 5,685 5,685 5,685
2,563 2,562 2,986 2,704 2,577
2,249 2,269 2,638 2,771 2,463
598 604 757 664 643
450 454 528 554 493
443 443 453 455 448
225 227 264 277 246
62 62 154 93 65
22 23 26 28 25
1,267 1,267 1,267 1,267 1,267
------------------ ------------------ ------------------ ------------------ ------------------
52,064 52,096 53,258 52,998 52,412
(48,915) (48,919) (49,565) (49,119) (48,964)
------------------ ------------------ ------------------ ------------------ ------------------
3,149 3,177 3,693 3,879 3,448
------------------ ------------------ ------------------ ------------------ ------------------
6,584 (1,425) (742) 2,537 (2,303)
------------------ ------------------ ------------------ ------------------ ------------------
(3,175) (25,010) (34,546) (5,616) (13,344)
-- -- -- 59,892 60,591
------------------ ------------------ ------------------ ------------------ ------------------
(3,175) (25,010) (34,546) 54,276 47,247
(212,488) (25,073) (266,187) (54,042) 3,992
------------------ ------------------ ------------------ ------------------ ------------------
(215,663) (50,083) (300,733) 234 51,239
------------------ ------------------ ------------------ ------------------ ------------------
$ (209,079) $ (51,508) $ (301,475) $ 2,771 $ 48,936
================== ================== =================== ================== ==================
|
See Notes to Financial Statements Page 99
First Trust Exchange-Traded AlphaDEX(TM) Fund
Statements of Operations (Continued)
FIRST TRUST FIRST TRUST
FIRST TRUST LARGE CAP MID CAP
UTILITIES CORE CORE
ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND
------------------- ------------------ -----------------
For the Period For the Period For the Period
May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a)
through through through
July 31, 2007 July 31, 2007 July 31, 2007
------------------- ------------------ -----------------
Dividends (b)......................................................... $ 15,004 $ 9,097 $ 8,343
--------------- -------------- --------------
Total investment income......................................... 15,004 9,097 8,343
--------------- -------------- --------------
EXPENSES:
Audit and tax fees.................................................... 31,000 31,000 31,000
Printing fees......................................................... 7,500 7,500 7,500
Legal fees............................................................ 5,685 5,685 5,685
Listing fees.......................................................... 2,704 2,562 2,845
Investment advisory fees.............................................. 2,607 3,433 4,702
Trustees' fees and expenses........................................... 649 905 1,062
Licensing fees........................................................ 521 687 940
Custodian fees........................................................ 452 473 505
Accounting and administration fees.................................... 261 343 470
Registration and filing fees.......................................... 91 92 185
Transfer agent fees................................................... 26 34 47
Other expenses........................................................ 1,267 1,267 1,267
--------------- -------------- --------------
Total expenses.................................................. 52,763 53,981 56,208
Less fees waived and expenses reimbursed by the
investment advisor........................................ (49,113) (49,175) (49,625)
--------------- -------------- --------------
Net expenses.................................................... 3,650 4,806 6,583
--------------- -------------- --------------
NET INVESTMENT INCOME (LOSS).......................................... 11,354 4,291 1,760
--------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments..................................................... (945) (15,102) (16,286)
In-kind redemptions............................................. 32,108 123,906 166,103
--------------- -------------- --------------
Net realized gain (loss).............................................. 31,163 108,804 149,817
Net change in unrealized appreciation (depreciation) on investments... (236,558) (244,796) (454,531)
--------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) .............................. (205,395) (135,992) (304,714)
--------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................................. $ (194,041) $ (131,701) $ (302,954)
=============== ============== ==============
|
(a) Inception date.
(b) Net of foreign withholding tax of $6 for the First Trust Small Cap
Core AlphaDEX(TM) Fund.
Page 100 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
SMALL CAP LARGE CAP VALUE LARGE CAP GROWTH FIRST TRUST FIRST TRUST
CORE OPPORTUNITIES OPPORTUNITIES MULTI CAP VALUE MULTI CAP GROWTH
ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND
---------------------- ---------------------- ---------------------- ---------------------- ----------------------
For the Period For the Period For the Period For the Period For the Period
May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a)
through through through through through
July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007
---------------------- ---------------------- ---------------------- ---------------------- ----------------------
$ 8,524 $ 13,219 $ 5,894 $ 11,160 $ 4,601
------------------ ----------------- ------------------- ----------------- -----------------
8,524 13,219 5,894 11,160 4,601
------------------ ----------------- ------------------- ----------------- -----------------
31,000 31,000 31,000 31,000 31,000
7,500 7,500 7,500 7,500 7,500
5,685 5,685 5,685 5,685 5,685
2,845 2,845 2,845 2,563 3,128
3,795 3,960 4,701 3,420 4,727
1,051 904 1,052 1,063 1,214
759 792 940 684 945
482 486 505 472 505
380 395 470 342 473
186 186 184 92 285
38 40 47 34 47
1,267 1,267 1,267 1,267 1,267
------------------ ----------------- ------------------- ----------------- -----------------
54,988 55,060 56,196 54,122 56,776
(49,675) (49,517) (49,614) (49,334) (50,158)
------------------ ----------------- ------------------- ----------------- -----------------
5,313 5,543 6,582 4,788 6,618
------------------ ----------------- ------------------- ----------------- -----------------
3,211 7,676 (688) 6,372 (2,017)
------------------ ----------------- ------------------- ----------------- -----------------
(21,375) (5,338) 399 (8,569) (26,562)
164,380 128,924 84,145 131,777 146,477
------------------ ----------------- ------------------- ----------------- -----------------
143,005 123,586 84,544 123,208 119,915
(535,837) (531,514) (232,345) (334,249) (564,459)
------------------ ----------------- ------------------- ----------------- -----------------
(392,832) (407,928) (147,801) (211,041) (444,544)
------------------ ----------------- ------------------- ----------------- -----------------
$ (389,621) $ (400,252) $ (148,489) $ (204,669) $ (446,561)
================== ================= =================== ================= =================
|
See Notes to Financial Statements Page 101
First Trust Exchange-Traded AlphaDEX(TM) Fund
Statement of Changes in Net Assets
FIRST TRUST FIRST TRUST
CONSUMER CONSUMER FIRST TRUST
DISCRETIONARY STAPLES ENERGY
ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND
------------------ ------------------ ------------------
For the Period For the Period For the Period
May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a)
through through through
July 31, 2007 July 31, 2007 July 31, 2007
------------------ ------------------ ------------------
OPERATIONS:
Net investment income (loss)..................................... $ 188 $ 5,552 $ (174)
Net realized gain (loss)......................................... (2,459) 17,598 91,222
Net change in unrealized appreciation (depreciation)............. (114,943) (158,588) (253,253)
--------------- -------------- ---------------
Net increase (decrease) in net assets resulting from operations.. (117,214) (135,438) (162,205)
--------------- -------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold........................................ 2,000,040 4,005,824 6,438,163
Value of shares repurchased...................................... -- (1,003,900) (1,091,471)
--------------- -------------- ---------------
Net increase (decrease) in net assets resulting from
shareholder transactions.................................. 2,000,040 3,001,924 5,346,692
--------------- -------------- ---------------
Net increase (decrease) in net assets............................ 1,882,826 2,866,486 5,184,487
NET ASSETS:
Beginning of Period.............................................. -- -- --
--------------- -------------- ---------------
End of Period.................................................... $ 1,882,826 $ 2,866,486 $ 5,184,487
=============== ============== ===============
Accumulated net investment income (loss) at end of period........ $ 188 $ 5,552 $ --
=============== ============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period.......................... -- -- --
Shares sold...................................................... 100,002 200,002 300,002
Shares repurchased............................................... -- (50,000) (50,000)
--------------- -------------- ---------------
Shares outstanding, end of period................................ 100,002 150,002 250,002
=============== ============== ===============
|
(a) Inception date.
Page 102 See Notes to Financial Statements
FIRST TRUST
FIRST TRUST FIRST TRUST INDUSTRIALS/ FIRST TRUST FIRST TRUST
FINANCIALS HEALTH CARE PRODUCER DURABLES MATERIALS TECHNOLOGY
ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND
---------------------- ---------------------- ---------------------- ---------------------- ----------------------
For the Period For the Period For the Period For the Period For the Period
May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a)
through through through through through
July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007
---------------------- ---------------------- ---------------------- ---------------------- ----------------------
$ 6,584 $ (1,425) $ (742) $ 2,537 $ (2,303)
(3,175) (25,010) (34,546) 54,276 47,247
(212,488) (25,073) (266,187) (54,042) 3,992
------------------ ----------------- ----------------- ---------------- ----------------
(209,079) (51,508) (301,475) 2,771 48,936
------------------ ----------------- ----------------- ---------------- ----------------
2,000,040 2,000,040 5,019,794 4,071,138 3,148,212
-- -- -- (1,048,802) (1,048,212)
------------------ ----------------- ----------------- ---------------- ----------------
2,000,040 2,000,040 5,019,794 3,022,336 2,100,000
------------------ ----------------- ----------------- ---------------- ----------------
1,790,961 1,948,532 4,718,319 3,025,107 2,148,936
-- -- -- -- --
------------------ ----------------- ----------------- ---------------- ----------------
$ 1,790,961 $ 1,948,532 $ 4,718,319 $ 3,025,107 $ 2,148,936
================== ================= ================= ================ ================
$ 6,584 $ -- $ -- $ 2,537 $ --
================== ================= ================= ================ ================
-- -- -- -- --
100,002 100,002 250,002 200,002 155,000
-- -- -- (50,000) (50,000)
------------------ ----------------- ----------------- ---------------- ----------------
100,002 100,002 250,002 150,002 105,000
================== ================= ================= ================ ================
|
See Notes to Financial Statements Page 103
First Trust Exchange-Traded AlphaDEX(TM) Fund
Statement of Changes in Net Assets (Continued)
FIRST TRUST FIRST TRUST
FIRST TRUST LARGE CAP MID CAP
UTILITIES CORE CORE
ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND
------------------ ------------------ ------------------
For the Period For the Period For the Period
May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a)
through through through
July 31, 2007 July 31, 2007 July 31, 2007
------------------- ------------------ -----------------
OPERATIONS:
Net investment income (loss).................................... $ 11,354 $ 4,291 $ 1,760
Net realized gain (loss)........................................ 31,163 108,804 149,817
Net change in unrealized appreciation (depreciation)............ (236,558) (244,796) (454,531)
--------------- -------------- --------------
Net increase (decrease) in net assets resulting from operations (194,041) (131,701) (302,954)
--------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold....................................... 3,917,512 6,064,190 9,115,197
Value of shares repurchased..................................... (967,258) (3,064,130) (3,096,798)
--------------- -------------- --------------
Net increase (decrease) in net assets resulting from
shareholder transactions................................... 2,950,254 3,000,060 6,018,399
--------------- -------------- --------------
Net increase (decrease) in net assets........................... 2,756,213 2,868,359 5,715,445
NET ASSETS:
Beginning of Period............................................. -- -- --
--------------- -------------- --------------
End of Period................................................... $ 2,756,213 $ 2,868,359 $ 5,715,445
=============== ============== ==============
Accumulated net investment income (loss) at end of period....... $ 11,354 $ 4,291 $ 1,760
=============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period......................... -- -- --
Shares sold..................................................... 200,002 200,002 300,002
Shares repurchased.............................................. (50,000) (100,000) (100,000)
--------------- -------------- --------------
Shares outstanding, end of period............................... 150,002 100,002 200,002
=============== ============== ==============
|
(a) Inception date.
Page 104 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
SMALL CAP LARGE CAP VALUE LARGE CAP GROWTH FIRST TRUST FIRST TRUST
CORE OPPORTUNITIES OPPORTUNITIES MULTI CAP VALUE MULTI CAP GROWTH
ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND ALPHADEX(TM) FUND
---------------------- ---------------------- ---------------------- ---------------------- ----------------------
For the Period For the Period For the Period For the Period For the Period
May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a) May 8, 2007 (a)
through through through through through
July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007 July 31, 2007
---------------------- ---------------------- ---------------------- ---------------------- ----------------------
$ 3,211 $ 7,676 $ (688) $ 6,372 $ (2,017)
143,005 123,586 84,544 123,208 119,915
(535,837) (531,514) (232,345) (334,249) (564,459)
------------------ ----------------- ------------------ ----------------- -----------------
(389,621) (400,252) (148,489) (204,669) (446,561)
------------------ ----------------- ------------------ ----------------- -----------------
9,134,960 9,133,000 9,069,027 6,057,410 12,375,183
(3,084,908) (3,063,506) (3,075,980) (3,057,350) (3,110,520)
------------------ ----------------- ------------------ ----------------- -----------------
6,050,052 6,069,494 5,993,047 3,000,060 9,264,663
------------------ ----------------- ------------------ ----------------- -----------------
5,660,431 5,669,242 5,844,558 2,795,391 8,818,102
-- -- -- -- --
------------------ ----------------- ------------------ ----------------- -----------------
$ 5,660,431 $ 5,669,242 $ 5,844,558 $ 2,795,391 $ 8,818,102
================== ================= ================== ================= =================
$ 3,211 $ 7,676 $ -- $ 6,372 $ --
================== ================= ================== ================= =================
-- -- -- -- --
300,002 300,002 300,002 200,002 400,002
(100,000) (100,000) (100,000) (100,000) (100,000)
------------------ ----------------- ------------------ ----------------- -----------------
200,002 200,002 200,002 100,002 300,002
================== ================= ================== ================= =================
|
See Notes to Financial Statements Page 105
First Trust Exchange-Traded AlphaDEX(TM) Fund
Financial Highlights
For a share outstanding throughout the period
FIRST TRUST CONSUMER DISCRETIONARY ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 20.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) 0.00(f)
Net realized and unrealized gain (loss) (1.17)
------------
Total from investment operations (1.17)
------------
Net asset value, end of period $ 18.83
============
TOTAL RETURN (C) (5.85)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,883
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 11.39%(d)
Ratio of net investment income to average net assets 0.04%(d)
Portfolio turnover rate (e) 34%
FIRST TRUST CONSUMER STAPLES ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 20.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) 0.04
Net realized and unrealized gain (loss) (0.93)
------------
Total from investment operations (0.89)
------------
Net asset value, end of period $ 19.11
============
TOTAL RETURN (C) (4.45)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 2,866
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 9.34%(d)
Ratio of net investment income to average net assets 0.98%(d)
Portfolio turnover rate (e) 1%
(a) Inception date.
(b) Based on average shares outstanding.
|
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The return presented does not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return
calculated for a period of less than one year is not annualized. The total
return would have been lower if certain fees had not been waived and
expenses reimbursed by the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
(f) Amount represents less than $0.01 per share.
Page 106 See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX(TM) Fund
Financial Highlights
For a share outstanding throughout the period
FIRST TRUST ENERGY ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 20.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) (0.00)(f)
Net realized and unrealized gain (loss) 0.74
------------
Total from investment operations 0.74
------------
Net asset value, end of period $ 20.74
============
TOTAL RETURN (C) 3.70%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 5,184
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 9.49%(d)
Ratio of net investment loss to average net assets (0.03)%(d)
Portfolio turnover rate (e) 1%
FIRST TRUST FINANCIALS ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 20.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) 0.07
Net realized and unrealized gain (loss) (2.16)
------------
Total from investment operations (2.09)
------------
Net asset value, end of period $ 17.91
============
TOTAL RETURN (C) (10.45)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,791
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 11.58%(d)
Ratio of net investment income to average net assets 1.46%(d)
Portfolio turnover rate (e) 26%
(a) Inception date.
(b) Based on average shares outstanding.
|
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The return presented does not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return
calculated for a period of less than one year is not annualized. The total
return would have been lower if certain fees had not been waived and
expenses reimbursed by the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
(f) Amount represents less than $0.01 per share.
See Notes to Financial Statements Page 107
First Trust Exchange-Traded AlphaDEX(TM) Fund
Financial Highlights
For a share outstanding throughout the period
FIRST TRUST HEALTH CARE ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 20.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) (0.01)
Net realized and unrealized gain (loss) (0.51)
------------
Total from investment operations (0.52)
------------
Net asset value, end of period $ 19.48
============
TOTAL RETURN (C) (2.60)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,949
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 11.48%(d)
Ratio of net investment loss to average net assets (0.31)%(d)
Portfolio turnover rate (e) 30%
FIRST TRUST INDUSTRIALS/PRODUCER DURABLES
ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 20.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) (0.00)(f)
Net realized and unrealized gain (loss) (1.13)
------------
Total from investment operations (1.13)
------------
Net asset value, end of period $ 18.87
============
TOTAL RETURN (C) (5.65)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 4,718
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 10.09%(d)
Ratio of net investment loss to average net assets (0.14)%(d)
Portfolio turnover rate (e) 24%
(a) Inception date.
(b) Based on average shares outstanding.
|
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The return presented does not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return
calculated for a period of less than one year is not annualized. The total
return would have been lower if certain fees had not been waived and
expenses reimbursed by the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
(f) Amount represents less than $0.01 per share.
Page 108 See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX(TM) Fund
Financial Highlights
For a share outstanding throughout the period
FIRST TRUST MATERIALS ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 20.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) 0.02
Net realized and unrealized gain (loss) 0.15
------------
Total from investment operations 0.17
------------
Net asset value, end of period $ 20.17
============
TOTAL RETURN (C) 0.85%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 3,025
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 9.56%(d)
Ratio of net investment income to average net assets 0.46%(d)
Portfolio turnover rate (e) 1%
FIRST TRUST TECHNOLOGY ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 20.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) (0.02)
Net realized and unrealized gain (loss) 0.49
------------
Total from investment operations 0.47
------------
Net asset value, end of period $ 20.47
============
TOTAL RETURN (C) 2.35%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 2,149
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 10.64%(d)
Ratio of net investment loss to average net assets (0.47)%(d)
Portfolio turnover rate (e) 6%
(a) Inception date.
(b) Based on average shares outstanding.
|
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The return presented does not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return
calculated for a period of less than one year is not annualized. The total
return would have been lower if certain fees had not been waived and
expenses reimbursed by the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements Page 109
First Trust Exchange-Traded AlphaDEX(TM) Fund
Financial Highlights
For a share outstanding throughout the period
FIRST TRUST UTILITIES ALPHADEX(TM)FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 20.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) 0.09
Net realized and unrealized gain (loss) (1.72)
------------
Total from investment operations (1.63)
------------
Net asset value, end of period $ 18.37
============
TOTAL RETURN (C) (8.15)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 2,756
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 10.12%(d)
Ratio of net investment income to average net assets 2.18%(d)
Portfolio turnover rate (e) 1%
FIRST TRUST LARGE CAP CORE ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 30.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) 0.04
Net realized and unrealized gain (loss) (1.36)
------------
Total from investment operations (1.32)
------------
Net asset value, end of period $ 28.68
============
TOTAL RETURN (C) (4.40)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 2,868
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 7.86%(d)
Ratio of net investment income to average net assets 0.62%(d)
Portfolio turnover rate (e) 1%
(a) Inception date.
(b) Based on average shares outstanding.
|
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The return presented does not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return
calculated for a period of less than one year is not annualized. The total
return would have been lower if certain fees had not been waived and
expenses reimbursed by the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
Page 110 See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX(TM) Fund
Financial Highlights
For a share outstanding throughout the period
FIRST TRUST MID CAP CORE ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 30.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) 0.01
Net realized and unrealized gain (loss) (1.43)
------------
Total from investment operations (1.42)
------------
Net asset value, end of period $ 28.58
============
TOTAL RETURN (C) (4.73)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 5,715
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 5.98%(d)
Ratio of net investment income to average net assets 0.19%(d)
Portfolio turnover rate (e) 1%
FIRST TRUST SMALL CAP CORE ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 30.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) 0.02
Net realized and unrealized gain (loss) (1.72)
------------
Total from investment operations (1.70)
------------
Net asset value, end of period $ 28.30
============
TOTAL RETURN (C) (5.67)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 5,660
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 7.25%(d)
Ratio of net investment income to average net assets 0.42%(d)
Portfolio turnover rate (e) 2%
(a) Inception date.
(b) Based on average shares outstanding.
|
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The return presented does not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return
calculated for a period of less than one year is not annualized. The total
return would have been lower if certain fees had not been waived and
expenses reimbursed by the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements Page 111
First Trust Exchange-Traded AlphaDEX(TM) Fund
Financial Highlights
For a share outstanding throughout the period
FIRST TRUST LARGE CAP VALUE OPPORTUNITIES
ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 30.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) 0.06
Net realized and unrealized gain (loss) (1.71)
------------
Total from investment operations (1.65)
------------
Net asset value, end of period $ 28.35
============
TOTAL RETURN (C) (5.50)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 5,669
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 6.95%(d)
Ratio of net investment income to average net assets 0.97%(d)
Portfolio turnover rate (e) 1%
FIRST TRUST LARGE CAP GROWTH OPPORTUNITIES
ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 30.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) (0.00)(f)
Net realized and unrealized gain (loss) (0.78)
------------
Total from investment operations (0.78)
------------
Net asset value, end of period $ 29.22
============
TOTAL RETURN (C) (2.60)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 5,845
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 5.98%(d)
Ratio of net investment loss to average net assets (0.07)%(d)
Portfolio turnover rate (e) 1%
(a) Inception date.
(b) Based on average shares outstanding.
|
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The return presented does not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return
calculated for a period of less than one year is not annualized. The total
return would have been lower if certain fees had not been waived and
expenses reimbursed by the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
(f) Amount represents less than $0.01 per share.
Page 112 See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX(TM) Fund
Financial Highlights
For a share outstanding throughout the period
FIRST TRUST MULTI CAP VALUE ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 30.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) 0.06
Net realized and unrealized gain (loss) (2.11)
------------
Total from investment operations (2.05)
------------
Net asset value, end of period $ 27.95
============
TOTAL RETURN (C) (6.83)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 2,795
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 7.91%(d)
Ratio of net investment income to average net assets 0.93%(d)
Portfolio turnover rate (e) 2%
FIRST TRUST MULTI CAP GROWTH ALPHADEX(TM) FUND FOR THE PERIOD
MAY 8, 2007 (A)
THROUGH
JULY 31, 2007
------------------
Net asset value, beginning of period $ 30.00
------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (b) (0.01)
Net realized and unrealized gain (loss) (0.60)
------------
Total from investment operations (0.61)
------------
Net asset value, end of period $ 29.39
============
TOTAL RETURN (C) (2.03)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 8,818
RATIOS TO AVERAGE NET ASSETS:
Ratio of net expenses to average net assets 0.70%(d)
Ratio of total expenses to average net assets 6.01%(d)
Ratio of net investment loss to average net assets (0.21)%(d)
Portfolio turnover rate (e) 1%
(a) Inception date.
(b) Based on average shares outstanding.
|
(c) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividend
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The return presented does not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return
calculated for a period of less than one year is not annualized. The total
return would have been lower if certain fees had not been waived and
expenses reimbursed by the investment advisor.
(d) Annualized.
(e) Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements Page 113
Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
1. ORGANIZATION
First Trust Exchange-Traded AlphaDEX(TM) Fund (the "Trust") is an open-end
management investment company organized as a Massachusetts business trust on
December 6, 2006, and is registered with the Securities and Exchange Commission
("SEC") under the Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of sixteen funds:
First Trust Consumer Discretionary AlphaDEX(TM) Fund - (AMEX ticker "FXD")
First Trust Consumer Staples AlphaDEX(TM) Fund - (AMEX ticker "FXG")
First Trust Energy AlphaDEX(TM) Fund - (AMEX ticker "FXN")
First Trust Financials AlphaDEX(TM) Fund - (AMEX ticker "FXO")
First Trust Health Care AlphaDEX(TM) Fund - (AMEX ticker "FXH")
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund -
(AMEX ticker "FXR")
First Trust Materials AlphaDEX(TM) Fund - (AMEX ticker "FXZ")
First Trust Technology AlphaDEX(TM) Fund - (AMEX ticker "FXL")
First Trust Utilities AlphaDEX(TM) Fund - (AMEX ticker "FXU")
First Trust Large Cap Core AlphaDEX(TM) Fund - (AMEX ticker "FEX")
First Trust Mid Cap Core AlphaDEX(TM) Fund - (AMEX ticker "FNX")
First Trust Small Cap Core AlphaDEX(TM) Fund - (AMEX ticker "FYX")
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund -
(AMEX ticker "FTA")
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund -
(AMEX ticker "FTC")
First Trust Multi Cap Value AlphaDEX(TM) Fund - (AMEX ticker "FAB")
First Trust Multi Cap Growth AlphaDEX(TM) Fund - (AMEX ticker "FAD")
Each fund represents a separate series of beneficial interest in the Trust (the
"Fund" or collectively, the "Funds"). The Funds' shares are listed and traded on
the American Stock Exchange ("AMEX"). Unlike conventional mutual funds, each
Fund issues and redeems shares on a continuous basis, at net asset value
("NAV"), only in large specified blocks consisting of shares called a "Creation
Unit". Each Creation Unit consists of 50,000 shares for the First Trust Consumer
Discretionary AlphaDEX(TM) Fund, the First Trust Consumer Staples AlphaDEX(TM)
Fund, the First Trust Energy AlphaDEX(TM) Fund, the First Trust Financials
AlphaDEX(TM) Fund, the First Trust Health Care AlphaDEX(TM) Fund, the First
Trust Industrials/Producer Durables AlphaDEX(TM) Fund, the First Trust Materials
AlphaDEX(TM) Fund, the First Trust Technology AlphaDEX(TM) Fund, and the First
Trust Utilities AlphaDEX(TM) Fund and 100,000 shares for the First Trust Large
Cap Core AlphaDEX(TM) Fund, the First Trust Mid Cap Core AlphaDEX(TM) Fund, the
First Trust Small Cap Core AlphaDEX(TM) Fund, the First Trust Large Cap Value
Opportunities AlphaDEX(TM) Fund, the First Trust Large Cap Growth Opportunities
AlphaDEX(TM) Fund, the First Trust Multi Cap Value AlphaDEX(TM) Fund, and the
First Trust Multi Cap Growth AlphaDEX(TM) Fund. Creation Units are issued and
redeemed principally in-kind for securities included in the relevant index.
Except when aggregated in Creation Units, shares are not redeemable securities
of a Fund. The investment objective of each Fund is to seek investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of the following indices:
FUND INDEX
First Trust Consumer Discretionary AlphaDEX(TM) Fund StrataQuant(TM) ConsumerDiscretionary Index
First Trust Consumer Staples AlphaDEX(TM) Fund StrataQuant(TM) Consumer Staples Index
First Trust Energy AlphaDEX(TM) Fund StrataQuant(TM) Energy Index
First Trust Financials AlphaDEX(TM) Fund StrataQuant(TM) Financials Index
First Trust Health Care AlphaDEX(TM) Fund StrataQuant(TM) Health Care Index
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund StrataQuant(TM) Industrials Index
First Trust Materials AlphaDEX(TM) Fund StrataQuant(TM) Materials Index
First Trust Technology AlphaDEX(TM) Fund StrataQuant(TM) TechnologyIndex
First Trust Utilities AlphaDEX(TM) Fund StrataQuant(TM) UtilitiesIndex
First Trust Large Cap Core AlphaDEX(TM) Fund Defined Large Cap Core Index
First Trust Mid Cap Core AlphaDEX(TM) Fund Defined Mid Cap Core Index
First Trust Small Cap Core AlphaDEX(TM) Fund Defined Small Cap Core Index
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund Defined Large Cap Value Opportunities Index
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund Defined Large Cap Growth Opportunities Index
First Trust Multi Cap Value AlphaDEX(TM) Fund Defined Multi Cap Value Index
First Trust Multi Cap Growth AlphaDEX(TM) Fund Defined Multi Cap Growth Index
|
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of the financial statements. The
preparation of the financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
Page 114
Notes to Financial Statements (Continued)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
A.PORTFOLIO VALUATION
Each Fund determines the NAV of its shares daily, as of the close of
regular session trading on the New York Stock Exchange ("NYSE"), normally
4:00 p.m. Eastern time, on each day the NYSE is open for trading. The NAV
is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of
shares outstanding.
Each Fund's investments are valued at market value or, in the absence of market
value with respect to any portfolio securities, at fair value according to
procedures adopted by the Trust's Board of Trustees. Portfolio securities listed
on any exchange other than The NASDAQ Stock Market, Inc. ("NASDAQ(R)") are
valued at the last sale price on the business day as of which such value is
being determined. If there has been no sale on such day, the securities are
valued at the mean of the most recent bid and asked prices on such day.
Securities traded on the NASDAQ(R) are valued at the NASDAQ(R) Official Closing
Price as determined by NASDAQ(R). Portfolio securities traded on more than one
securities exchange are valued at the last sale price on the business day as of
which such value is being determined at the close of the exchange representing
the principal market for such securities. Portfolio securities traded in the
over-the-counter market, but excluding securities traded on the NASDAQ(R), are
valued at the closing bid prices. Short-term investments that mature in less
than 60 days are valued at amortized cost.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
The Funds may hold publicly-traded master limited partnerships ("MLP").
Distributions from such investments may include a return of capital component
from the MLP to the extent of the cost basis of such MLP investments. Cumulative
distributions received in excess of the Fund's cost basis in an MLP generally
are recorded as dividend income.
C. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of the Funds, if any, are declared and paid
semi-annually or as the Board of Trustees may determine from time to time.
Distributions of net realized capital gains earned by each Fund, if any, are
distributed at least annually.
Distributions from income and capital gains are determined in accordance with
income tax regulations, which may differ from accounting principles generally
accepted in the United States of America. These differences are primarily due to
differing treatments of income and gains on various investment securities held
by the Funds, timing differences and differing characterization of distributions
made by the Funds.
There were no distributions paid during the period ended July 31, 2007.
As of July 31, 2007, the components of distributable earnings on a tax basis for
the Funds were as follows:
Undistributed Accumulated Net Unrealized
Ordinary Capital Appreciation
Income Gain (Loss) (Depreciation)
-------------- ---------------- ----------------
First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 188 $ (2,058) $ (115,344)
First Trust Consumer Staples AlphaDEX(TM) Fund 5,552 (3,068) (158,588)
First Trust Energy AlphaDEX(TM) Fund 892 -- (253,253)
First Trust Financials AlphaDEX(TM) Fund 6,584 (2,757) (212,906)
First Trust Health Care AlphaDEX(TM) Fund -- (18,355) (31,728)
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund -- (23,631) (277,102)
First Trust Materials AlphaDEX(TM) Fund 2,537 (4,424) (55,234)
First Trust Technology AlphaDEX(TM) Fund -- (12,398) 3,046
First Trust Utilities AlphaDEX(TM) Fund 11,354 (945) (236,558)
First Trust Large Cap Core AlphaDEX(TM) Fund 4,291 (15,102) (244,796)
First Trust Mid Cap Core AlphaDEX(TM) Fund 1,760 (7,911) (462,906)
First Trust Small Cap Core AlphaDEX(TM) Fund 3,211 (14,770) (542,442)
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 7,676 (1,854) (534,998)
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund -- -- (232,345)
First Trust Multi Cap Value AlphaDEX(TM) Fund 6,372 (8,569) (334,249)
First Trust Multi Cap Growth AlphaDEX(TM) Fund -- (26,562) (564,459)
|
D. INCOME TAXES
Each Fund intends to qualify as a regulated investment company by complying with
the requirements under Subchapter M of the Internal Revenue Code of 1986, as
amended, by distributing substantially all of its net investment income and net
realized gains to shareholders. Accordingly, no provision has been made for
federal and state income taxes.
Page 115
Notes to Financial Statements (Continued)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
In June 2006, Financial Accounting Standards Board Interpretation No. 48,
"Accounting for Uncertainty in Income Taxes" - an interpretation of FASB
Statement 109 ("FIN 48") was issued and is effective for fiscal years beginning
after December 15, 2006. This interpretation prescribes a minimum threshold for
financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return. As of July 31, 2007, management has
evaluated the application of FIN 48 to the Funds, and has determined that there
is no material impact resulting from the adoption of this interpretation on the
Funds' financial statements.
At July 31, 2007 for federal income tax purposes, the Funds have capital loss
carryforwards available as shown in the table below, to the extent provided by
regulations, to offset future capital gains through the year indicated. To the
extent that these loss carryforwards are used to offset future capital gains, it
is probable that the capital gains so offset will not be distributed to
shareholders.
The following Funds incurred and elected to defer net capital losses as follows:
Capital Loss
Available through
July 31, 2015
-----------------
First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 2,058
First Trust Consumer Staples AlphaDEX(TM) Fund 3,068
First Trust Energy AlphaDEX(TM) Fund --
First Trust Financials AlphaDEX(TM) Fund 2,757
First Trust Health Care AlphaDEX(TM) Fund 18,355
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 23,631
First Trust Materials AlphaDEX(TM) Fund 4,424
First Trust Technology AlphaDEX(TM) Fund 12,398
First Trust Utilities AlphaDEX(TM) Fund 945
First Trust Large Cap Core AlphaDEX(TM) Fund 15,102
First Trust Mid Cap Core AlphaDEX(TM) Fund 7,911
First Trust Small Cap Core AlphaDEX(TM) Fund 14,770
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 1,854
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund --
First Trust Multi Cap Value AlphaDEX(TM) Fund 8,569
First Trust Multi Cap Growth AlphaDEX(TM) Fund 26,562
|
In order to present paid-in capital and accumulated net realized gain (loss) on
the Statements of Assets and Liabilities that more closely represent their tax
character, certain adjustments have been made to paid-in capital, accumulated
net investment income (loss) and accumulated net realized gain (loss) on
investments. For the period ended July 31, 2007, the adjustments were as
follows:
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
---------------- ---------------- ---------------
First Trust Consumer Discretionary AlphaDEX(TM) Fund $ -- $ -- $ --
First Trust Consumer Staples AlphaDEX(TM) Fund -- (20,666) 20,666
First Trust Energy AlphaDEX(TM) Fund 174 (90,330) 90,156
First Trust Financials AlphaDEX(TM) Fund -- -- --
First Trust Health Care AlphaDEX(TM) Fund 1,425 -- (1,425)
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 742 -- (742)
First Trust Materials AlphaDEX(TM) Fund -- (59,892) 59,892
First Trust Technology AlphaDEX(TM) Fund 2,303 (60,591) 58,288
First Trust Utilities AlphaDEX(TM) Fund -- (32,108) 32,108
First Trust Large Cap Core AlphaDEX(TM) Fund -- (123,906) 123,906
First Trust Mid Cap Core AlphaDEX(TM) Fund -- (166,103) 166,103
First Trust Small Cap Core AlphaDEX(TM) Fund -- (164,380) 164,380
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund -- (128,924) 128,924
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 688 (84,544) 83,856
First Trust Multi Cap Value AlphaDEX(TM) Fund -- (131,777) 131,777
First Trust Multi Cap Growth AlphaDEX(TM) Fund 2,017 (146,477) 144,460
|
Page 116
Notes to Financial Statements (Continued)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
E. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the average net assets of each Fund. First Trust Portfolios
L.P. ("First Trust Portfolios") has entered into licensing agreements with each
of the following "Licensors" for the respective Funds:
FUNDS LICENSOR
First Trust Consumer Discretionary AlphaDEX(TM) Fund American Stock Exchange LLC
First Trust Consumer Staples AlphaDEX(TM) Fund American Stock Exchange LLC
First Trust Energy AlphaDEX(TM) Fund American Stock Exchange LLC
First Trust Financials AlphaDEX(TM) Fund American Stock Exchange LLC
First Trust Health Care AlphaDEX(TM) Fund American Stock Exchange LLC
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund American Stock Exchange LLC
First Trust Materials AlphaDEX(TM) Fund American Stock Exchange LLC
First Trust Technology AlphaDEX(TM) Fund American Stock Exchange LLC
First Trust Utilities AlphaDEX(TM) Fund American Stock Exchange LLC
First Trust Large Cap Core AlphaDEX(TM) Fund Standard & Poor's
First Trust Mid Cap Core AlphaDEX(TM) Fund Standard & Poor's
First Trust Small Cap Core AlphaDEX(TM) Fund Standard & Poor's
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund Standard & Poor's
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund Standard & Poor's
First Trust Multi Cap Value AlphaDEX(TM) Fund Standard & Poor's
First Trust Multi Cap Growth AlphaDEX(TM) Fund Standard & Poor's
|
The Funds are entitled to use each index and corresponding trademarks and trade
names pursuant to sublicensing arrangements by and among each Fund, the
respective Licensor, First Trust Advisors L.P. ("First Trust") and First Trust
Portfolios. As such, the Funds pay licensing fees, which are shown on the
Statements of Operations.
F. ACCOUNTING PRONOUNCEMENT
In September 2006, Statement of Financial Accounting Standards No. 157 Fair
Value Measurements ("SFAS 157") was issued by the FASB and is effective for
fiscal years beginning after November 15, 2007. SFAS 157 defines fair value,
establishes a framework for measuring fair value and expands disclosures about
fair value measurements. Management is currently evaluating the impact the
adoption of SFAS 157 will have on the Funds' financial statement disclosures.
3. INVESTMENT ADVISORY FEE AND OTHER AFFILIATED TRANSACTIONS
First Trust (or the "Advisor") is a limited partnership with one limited
partner, Grace Partners of DuPage L.P., and one general partner, The Charger
Corporation. First Trust serves as investment advisor to the Funds pursuant to
an Investment Management Agreement. First Trust is responsible for the selection
and ongoing monitoring of the securities in the Funds' portfolios and certain
other services necessary for the management of the Funds.
For these services, First Trust will receive monthly fees from each Fund
calculated at an annual rate of 0.50% of such Fund's average daily net assets.
The Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver
and Recovery Agreement in which the Advisor has agreed to waive fees and/or
reimburse the Funds to the extent that the operating expenses of each Fund
(excluding interest expense, brokerage commissions and other trading expenses,
taxes and extraordinary expenses) exceed 0.70% of average daily net assets per
year (the "Expense Cap").
Each Fund's Expense Cap will be in effect for at least two years from its
inception date. Expenses borne by the Advisor are subject to reimbursement by
the Funds up to three years from the date the fee or expense was incurred, but
no reimbursement payment will be made by a Fund if it would result in the Fund
exceeding its Expense Cap.
For the period ended July 31, 2007, the advisory fee waivers and reimbursements
of expenses (in order to maintain the Expense Caps) were as follows:
Page 117
Notes to Financial Statements (Continued)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
Advisory Fee Expense
Waivers Reimbursements
----------------- -----------------
First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 2,287 $ 46,632
First Trust Consumer Staples AlphaDEX(TM) Fund 2,843 46,254
First Trust Energy AlphaDEX(TM) Fund 2,821 46,774
First Trust Financials AlphaDEX(TM) Fund 2,249 46,666
First Trust Health Care AlphaDEX(TM) Fund 2,269 46,650
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 2,638 46,927
First Trust Materials AlphaDEX(TM) Fund 2,771 46,348
First Trust Technology AlphaDEX(TM) Fund 2,463 46,501
First Trust Utilities AlphaDEX(TM) Fund 2,607 46,506
First Trust Large Cap Core AlphaDEX(TM) Fund 3,433 45,742
First Trust Mid Cap Core AlphaDEX(TM) Fund 4,702 44,923
First Trust Small Cap Core AlphaDEX(TM) Fund 3,795 45,880
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 3,960 45,557
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 4,701 44,913
First Trust Multi Cap Value AlphaDEX(TM) Fund 3,420 45,914
First Trust Multi Cap Growth AlphaDEX(TM) Fund 4,727 45,431
|
The Bank of New York is the administrator, custodian, fund accountant and
transfer agent for each Fund. Effective July 2, 2007, The Bank of New York
became a subsidiary of The Bank of New York Mellon Corporation.
The Trust, on behalf of the Funds, has entered into an agreement with PFPC, Inc.
("PFPC") whereby PFPC will provide certain administrative services to the Trust
and the Funds in connection with the Board's meetings and other related matters.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid an annual retainer
of $10,000 per trust for the first 14 trusts of the First Trust Fund Complex and
an annual retainer of $7,500 per trust for each subsequent trust added to the
First Trust Fund Complex. The annual retainer is allocated equally among each of
the trusts. No additional meeting fees are paid in connection with board or
committee meetings.
Additionally, Thomas R. Kadlec is paid $10,000 annually to serve as the Lead
Independent Trustee and Niel B. Nielson is paid $5,000 annually to serve as the
chairman of the Audit Committee, with such compensation paid by the funds in the
First Trust Fund Complex and divided among those funds. Independent Trustees are
also reimbursed by the funds in the First Trust Fund Complex for travel and
out-of-pocket expenses in connection with all meetings.
4. PURCHASES AND SALES OF SECURITIES
For the period ended July 31, 2007, the cost of purchases and proceeds from
sales of investment securities, excluding short-term investments and in-kind
transactions, were as follows:
Purchases Sales
----------------- -----------------
First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 702,705 $ 671,455
First Trust Consumer Staples AlphaDEX(TM) Fund 35,062 60,547
First Trust Energy AlphaDEX(TM) Fund 59,132 26,837
First Trust Financials AlphaDEX(TM) Fund 535,123 503,661
First Trust Health Care AlphaDEX(TM) Fund 584,838 621,003
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 696,613 690,243
First Trust Materials AlphaDEX(TM) Fund 26,086 218,843
First Trust Technology AlphaDEX(TM) Fund 122,790 198,231
First Trust Utilities AlphaDEX(TM) Fund 49,836 22,279
First Trust Large Cap Core AlphaDEX(TM) Fund 20,791 217,819
First Trust Mid Cap Core AlphaDEX(TM) Fund 28,324 484,010
First Trust Small Cap Core AlphaDEX(TM) Fund 71,643 329,643
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 25,231 70,804
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 28,169 30,686
First Trust Multi Cap Value AlphaDEX(TM) Fund 58,577 154,471
First Trust Multi Cap Growth AlphaDEX(TM) Fund 27,797 526,545
|
Page 118
Notes to Financial Statements (Continued)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
For the period ended July 31, 2007, the cost of in-kind purchases and proceeds
from in-kind sales were as follows:
Purchases Sales
----------------- -----------------
First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 1,994,245 $ --
First Trust Consumer Staples AlphaDEX(TM) Fund 3,999,951 943,865
First Trust Energy AlphaDEX(TM) Fund 6,430,897 1,091,243
First Trust Financials AlphaDEX(TM) Fund 1,998,598 --
First Trust Health Care AlphaDEX(TM) Fund 2,000,942 --
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 5,025,611 --
First Trust Materials AlphaDEX(TM) Fund 4,075,556 920,378
First Trust Technology AlphaDEX(TM) Fund 3,049,640 851,232
First Trust Utilities AlphaDEX(TM) Fund 3,909,951 958,016
First Trust Large Cap Core AlphaDEX(TM) Fund 6,077,955 2,866,478
First Trust Mid Cap Core AlphaDEX(TM) Fund 9,142,904 2,703,729
First Trust Small Cap Core AlphaDEX(TM) Fund 9,176,045 2,889,110
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 9,134,231 3,009,627
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 9,065,538 3,068,876
First Trust Multi Cap Value AlphaDEX(TM) Fund 6,040,056 2,933,151
First Trust Multi Cap Growth AlphaDEX(TM) Fund 12,410,890 2,698,642
|
Gains on in-kind transactions are not considered taxable for federal income tax
purposes.
As of July 31, 2007, the costs of investments for federal income tax purposes
and accumulated net unrealized appreciation (depreciation) on investments were
as follows:
Net
Unrealized Gross Gross
Appreciation Unrealized Unrealized
Cost (Depreciation) Appreciation Depreciation
-------------- -------------- -------------- --------------
First Trust Consumer Discretionary AlphaDEX(TM) Fund $ 2,023,437 $ (115,344) $ 37,030 $ (152,374)
First Trust Consumer Staples AlphaDEX(TM) Fund 3,048,199 (158,588) 26,139 (184,727)
First Trust Energy AlphaDEX(TM) Fund 5,463,172 (253,253) 28,886 (282,139)
First Trust Financials AlphaDEX(TM) Fund 2,027,302 (212,906) 13,291 (226,197)
First Trust Health Care AlphaDEX(TM) Fund 1,946,422 (31,728) 74,631 (106,359)
First Trust Industrials/Producer Durables AlphaDEX(TM) Fund 5,008,351 (277,102) 43,386 (320,488)
First Trust Materials AlphaDEX(TM) Fund 3,017,889 (55,234) 111,437 (166,671)
First Trust Technology AlphaDEX(TM) Fund 2,171,161 3,046 75,565 (72,519)
First Trust Utilities AlphaDEX(TM) Fund 3,010,654 (236,558) 17,560 (254,118)
First Trust Large Cap Core AlphaDEX(TM) Fund 3,123,253 (244,796) 14,488 (259,284)
First Trust Mid Cap Core AlphaDEX(TM) Fund 6,141,681 (462,906) 66,476 (529,382)
First Trust Small Cap Core AlphaDEX(TM) Fund 6,178,539 (542,442) 37,408 (579,850)
First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund 6,206,102 (534,998) 7,534 (542,532)
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund 6,078,689 (232,345) 80,937 (313,282)
First Trust Multi Cap Value AlphaDEX(TM) Fund 3,134,218 (334,249) 12,160 (346,409)
First Trust Multi Cap Growth AlphaDEX(TM) Fund 9,333,411 (564,459) 69,658 (634,117)
|
Page 119
Notes to Financial Statements (Continued)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
5. CAPITAL
Shares are created and redeemed by the Funds only in Creation Unit size
aggregations of 50,000 and 100,000 shares (see Note 1). Such transactions are
generally permitted on an in-kind basis, with a balancing cash component to
equate the transaction to the net asset value per unit of each Fund on the
transaction date. Purchasers of Creation Units must pay a standard creation
transaction fee (the "Creation Transaction Fee"), which is based on the number
of different securities in a Creation Unit according to the fee schedule set
forth below:
Number of
Securities Creation
in a Creation Unit Transaction Fee
1-100 $500
101-200 $1,000
201-300 $1,500
301-400 $2,000
401-500 $2,500
501-600 $3,000
601-700 $3,500
|
The Creation Transaction Fee is applicable to each purchase transaction
regardless of the number of Creation Units purchased in the transaction. An
additional variable fee of up to three times the Creation Transaction Fee may be
charged to approximate additional expenses incurred by the Fund with respect to
transactions effected outside of the clearing process (i.e., through a DTC
Participant) or to the extent that cash is used in lieu of securities to
purchase Creation Units. The price for each Creation Unit will equal the daily
NAV per share times the number of shares in a Creation Unit plus the fees
described above and, if applicable, any transfer taxes.
Parties redeeming Creation Units must pay a standard redemption transaction fee
(the "Redemption Transaction Fee"), which is based on the number of different
securities in a Creation Unit according to the fee schedule set forth below:
Number of
Securities Redemption
in a Creation Unit Transaction Fee
1-100 $500
101-200 $1,000
201-300 $1,500
301-400 $2,000
401-500 $2,500
501-600 $3,000
601-700 $3,500
|
The Redemption Transaction Fee is applicable to each redemption transaction
regardless of the number of Creation Units redeemed in the transaction. An
additional variable fee of up to three times the Redemption Transaction Fee may
be charged to approximate additional expenses incurred by a Fund with respect to
redemptions effected outside of the clearing process or to the extent that
redemptions are for cash. The Funds reserve the right to effect redemptions in
cash. A shareholder may request a cash redemption in lieu of securities;
however, a Fund may, in its discretion, reject any such request.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor, for
amounts expended to finance activities primarily intended to result in the sale
of Creation Units or the provision of investor services. FTP may also use this
amount to compensate securities dealers or other persons that are Authorized
Participants for providing distribution assistance, including broker-dealer and
shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, the Funds will not pay 12b-1 fees any time before April 30, 2008.
Page 120
Report of Indepenent Registered Public Accounting Firm
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST EXCHANGE-TRADED
ALPHADEX(TM) FUND:
We have audited the accompanying statements of assets and liabilities of First
Trust Exchange-Traded AlphaDEX(TM) Fund, comprising First Trust Large Cap Core
AlphaDEX(TM) Fund, First Trust Mid Cap Core AlphaDEX(TM) Fund, First Trust Small
Cap Core AlphaDEX(TM) Fund, First Trust Large Cap Value Opportunities
AlphaDEX(TM) Fund, First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund,
First Trust Multi Cap Value AlphaDEX(TM) Fund, First Trust Multi Cap Growth
AlphaDEX(TM) Fund, First Trust Consumer Discretionary AlphaDEX(TM) Fund, First
Trust Consumer Staples AlphaDEX(TM) Fund, First Trust Financials AlphaDEX(TM)
Fund, First Trust Energy AlphaDEX(TM) Fund, First Trust Health Care AlphaDEX(TM)
Fund, First Trust Industrials/Producer Durables AlphaDEX(TM) Fund, First Trust
Materials AlphaDEX(TM) Fund, First Trust Technology AlphaDEX(TM) Fund, and First
Trust Utilities AlphaDEX(TM) Fund (collectively, the "Funds"), including the
portfolios of investments, as of July 31, 2007, and the related statements of
operations, changes in net assets and the financial highlights for the period
May 8, 2007 (inception) through July 31, 2007. These financial statements and
financial highlights are the responsibility of the Funds' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Funds
are not required to have, nor were we engaged to perform, an audit of their
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Funds' internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of July 31, 2007 by correspondence with the Funds'
custodian and brokers. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of First
Trust Exchange-Traded AlphaDEX(TM) Fund as of July 31, 2007, the results of
their operations, changes in their net assets, and the financial highlights for
the period May 8, 2007 (inception) through July 31, 2007 in conformity with
accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
Chicago, Illinois
September 14, 2007
|
Page 121
Additional Information (Unaudited)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how the Funds voted proxies relating to
portfolio securities during the period ended July 31, 2007 is available (1)
without charge, upon request, by calling (800) 988-5891; (2) on the Trust's
website located at http://www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's website at http://www.sec.gov.
PORTFOLIO HOLDINGS
The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Trust's Forms N-Q are available (1) by calling (800)
988-5891; (2) on the Trust's website located at http://www.ftportfolios.com; (3)
on the SEC's website at http://www.sec.gov; and (4) for review and copying at
the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding
the operation of the PRR may be obtained by calling (800) SEC-0330.
ADVISORY AGREEMENT
BOARD CONSIDERATIONS REGARDING APPROVAL OF FIRST TRUST EXCHANGE-TRADED
ALPHADEX(TM) FUND'S ADVISORY CONTRACT
The Board of Trustees of the First Trust Exchange-Traded AlphaDEX(TM) Fund (the
"Trust"), including the Independent Trustees, unanimously approved the
Investment Management Agreement (the "Agreement") with First Trust Advisors L.P.
("First Trust") for the following funds: (a) First Trust Large Cap Core
AlphaDEX(TM) Fund, First Trust Mid Cap Core AlphaDEX(TM) Fund and First Trust
SMall Cap Core AlphaDEX(TM) Fund (each a "Core Fund" and collectively, the "Core
Funds"); (b) First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund and
First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund (each a "Style
Fund" and collectively, the "Style Funds"); (c) First Trust Multi Cap Value
AlphaDEX(TM) Fund and First Trust Multi Cap Growth AlphaDEX(TM) Fund (each a
"Multi Cap FUNd" and collectively, the "Multi Cap Funds"); and (d) First Trust
Consumer Discretionary AlphaDEX(TM) Fund, First Trust Consumer Staples
AlphaDEX(TM) Fund, First Trust Energy AlphaDEX(TM) Fund, First TRUst Financials
AlphaDEX(TM) Fund, First Trust Health Care AlphaDEX(TM) Fund, First Trust
Industrials/Producer Durables AlphaDEX(TM) Fund, First Trust Materials
AlphaDEX(TM) Fund, First TruST Technology AlphaDEX(TM) Fund and First Trust
Utilities AlphaDEX(TM) Fund (each a "Sector Fund" and collectively, the "Sector
Funds"). Each Core Fund, Style Fund, Multi Cap Fund and Sector Fund is also
referred to herein individually as a "Fund" and collectively as the "Funds." The
Agreement was approved by the Board for an initial two-year term at a meeting
held on December 11, 2006. The Board of Trustees determined for each Fund that
the Agreement is in the best interests of the Fund in light of the services,
expenses and such other matters as the Board considered to be relevant in the
exercise of its reasonable business judgment.
To reach this determination for each Fund, the Board considered its duties under
the Investment Company Act of 1940, as amended (the "1940 Act"), as well as
under the general principles of state law in reviewing and approving advisory
contracts; the requirements of the 1940 Act in such matters; the fiduciary duty
of investment advisors with respect to advisory agreements and compensation; the
standards used by courts in determining whether investment company boards of
trustees have fulfilled their duties; and the factors to be considered by the
Board in voting on such agreements. To assist the Board in its evaluation of the
Agreement for each Fund, the Independent Trustees received a report in advance
of the Board meeting responding to a request for information from counsel to the
Independent Trustees. The report, among other things, outlined the services to
be provided by First Trust (including the relevant personnel responsible for
these services and their experience) to each Fund; the proposed advisory fee for
each Fund as compared to fees charged by investment advisors to comparable funds
and as compared to fees charged to other First Trust clients; estimated expenses
of each Fund as compared to those of comparable funds; the nature of expenses to
be incurred in providing services to each Fund and the potential for economies
of scale, if any; financial data on First Trust; fall-out benefits to First
Trust and First Trust Portfolios L.P.; and a summary of First Trust's compliance
program. The Independent Trustees also met separately with their independent
legal counsel to discuss the information provided by First Trust. The Board also
applied its business judgment to determine whether the arrangement between the
Trust and First Trust is a reasonable business arrangement from each Fund's
perspective as well as from the perspective of shareholders.
Page 122
Additional Information (Unaudited) (Continued)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
In evaluating whether to approve the Agreement for each Fund, the Board
considered the nature, extent and quality of services to be provided under the
Agreement, and noted that, while the Funds are the initial series of the Trust,
First Trust employees provide management services to other investment companies,
including other exchange-traded funds ("ETFs"), in the First Trust complex with
diligence and care. The Board also considered the compliance program that had
been developed by First Trust and the skills of its employees who would be
working with the Funds. It also considered the efforts expended by First Trust
in organizing the Trust and making arrangements for entities to provide services
to the Funds. Since each Fund is newly organized, the Board did not consider the
investment performance of the Funds, but the Board did consider the performance
of the applicable index for each Fund. The Board concluded it was comfortable
that First Trust had the capabilities and resources to oversee the operations of
each Fund, including the services to be provided by other service providers.
For each Fund, the Trustees reviewed information showing the advisory fee and
estimated expense ratio as compared to those of a peer group selected by First
Trust. They noted that the peer group for each Fund consisted solely of other
ETFs. The Board considered certain limitations in the comparability of the funds
in each peer group, including that certain peer funds had operated for less than
a year. With respect to the advisory fees for the Funds, the Board noted the
following:
(a) The Board noted the services to be provided by First Trust to each
Core Fund for the annual advisory fee of 0.50% of the Core Fund's
average daily net assets and that the proposed advisory fee for each
Core Fund was above the average of the advisory fees of the Core
Fund's peer group. The Board noted that except for First Trust Mid
Cap Core AlphaDEX(TM) Fund, in each case the fee was equal to the
Core Fund's closest peer. The Board concluded that each Core Fund's
advisory fee was within an acceptable range of the peer group and
consistent with reasonable expectations in light of the nature,
quality and extent of the services to be provided by First Trust.
(b) The Board noted the services to be provided by First Trust to each
Style Fund for the annual advisory fee of 0.50% of the Style Fund's
average daily net assets and that the proposed advisory fee for each
Style Fund was above the average of the advisory fees of the Style
Fund's peer group. The Board noted that in each case the fee was
equal to the Style Fund's closest peer. The Board concluded that
each Style Fund's advisory fee was within an acceptable range of the
peer group and consistent with reasonable expectations in light of
the nature, quality and extent of the services to be provided by
First Trust.
(c) The Board noted the services to be provided by First Trust to each
Multi Cap Fund for the annual advisory fee of 0.50% of the Multi Cap
Fund's average daily net assets and that the proposed advisory fee
for each Multi Cap Fund was above the average of the advisory fees
of the Multi Cap Fund's peer group. The Board noted that in each
case the fee was equal to the Multi Cap Fund's closest peer. The
Board concluded that each Multi Cap Fund's advisory fee was within
an acceptable range of the peer group and consistent with reasonable
expectations in light of the nature, quality and extent of the
services to be provided by First Trust.
(d) The Board noted the services to be provided by First Trust to each
Sector Fund for the annual advisory fee of 0.50% of the Sector
Fund's average daily net assets and that the proposed advisory fee
for each Sector Fund was above the average of the advisory fees of
the Sector Fund's peer group. The Board noted that except for First
Trust Materials AlphaDEX(TM) Fund, in each case the fee was equal to
the Sector Fund's closesT peer. The Board concluded that each Sector
Fund's advisory fee was within an acceptable range of the peer group
and consistent with reasonable expectations in light of the nature,
quality and extent of the services to be provided by First Trust.
The Board also considered that First Trust has agreed to waive fees and/or pay
expenses for each Fund to the extent necessary to prevent the operating expenses
of the Fund (excluding interest expense, brokerage commissions and other trading
expenses, taxes and extraordinary expenses) from exceeding 0.70% of average
daily net assets for two years. The Trustees noted that expenses borne by First
Trust are proposed to be subject to reimbursement by a Fund for up to three
years from the date the fee or expense was incurred, but no reimbursement
payment would be made by the Fund if it would result in the Fund exceeding its
expense cap, or if the expense cap is no longer in effect, would result in the
Fund exceeding an expense ratio equal to its most recent expense cap. The Board
considered the fees charged by First Trust to funds with investment objectives
and policies similar to the Funds', noting that those fees were identical for
other ETFs that target alpha, and higher for non-ETFs, except non-ETFs for which
First Trust serves as sub-advisor, for which the annual fee usually was 0.35% of
average daily net assets, and the Board noted First Trust's statement that the
services provided to these funds may not be comparable to those to be provided
Page 123
Additional Information (Unaudited)(Continued)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
to the Funds. In light of nature, extent and quality of services to be provided
to each Fund under the Agreement, and in light of First Trust's agreement to
waive fees and/or pay each Fund's expenses for at least two years up to the
expense cap, the Board determined for each Fund that the investment advisory fee
was fair and reasonable.
Finally, the Board noted First Trust's commitment to attempt to analyze whether
economies of scale can be realized as Trust assets increase and operations
experience is accumulated, and noted that First Trust intended to continue to
make investments in infrastructure and personnel. The Board took the costs to be
borne by First Trust in connection with its services to be performed under the
Agreement into consideration and noted that First Trust was unable to estimate
the profitability of the Agreement to First Trust for each Fund, but had agreed
to cap each Fund's expenses for two years. The Board considered that First Trust
had identified as a fall-out benefit to First Trust and First Trust Portfolios
L.P. their exposure to investors and brokers who, in the absence of the Funds or
other ETFs for which First Trust acts as investment advisor, may have had no
dealings with First Trust. The Board also noted that First Trust would not
utilize soft dollars in connection with its management of each Fund's portfolio.
After discussion, the Board of Trustees, including the Independent Trustees,
concluded that First Trust had the capabilities, resources and personnel
necessary to manage each Fund. Based upon such information as it considered
necessary to the exercise of its reasonable business judgment, the Board of
Trustees concluded unanimously that it was in the best interests of each Fund to
approve the Agreement. No single factor was determinative in the Board's
analysis.
Page 124
Board of Trustees and Officers (Unaudited)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
Each Fund's respective statement of additional information includes information
about the Trustees and is available without charge, upon request, by calling
(800) 988-5891.
-----------------------------------------------------------------------------------------------------------------------------------
Interested Trustee
-----------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
PORTFOLIOS IN
TERM OF OFFICE THE FIRST TRUST OTHER
POSITION AND AND YEAR FIRST FUND COMPLEX TRUSTEESHIPS OR
NAME, ADDRESS OFFICES WITH ELECTED OR PRINCIPAL OCCUPATION(S) OVERSEEN BY DIRECTORSHIPS
AND DATE OF BIRTH TRUST APPOINTED DURING PAST FIVE YEARS TRUSTEE HELD BY TRUSTEE
-----------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1) President, o Indefinite term President, First Trust 56 Trustee of
1001 Warrenville Road Chairman of Advisors L.P. and First Wheaton College
Suite 300 the Board, o 2006 Trust Portfolios L.P.;
Lisle, IL 60532 Chief Chairman of the Board,
DOB. 9/55 Executive BondWave LLC (Software
Officer and Development Company/
Trustee Broker-Dealer) and
Stonebridge Advisors LLC
(Investment Adviser)
-----------------------------------------------------------------------------------------------------------------------------------
Independent Trustees
-----------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson Trustee o Indefinite term Physician; President, 56 NONE
c/o First Trust Advisors Wheaton Orthopedics;
L.P. o 2006 Co-Owner and Co-Director,
1001 Warrenville Road (January 1996 to May 2007),
Suite 300 Sports Med Center for
Lisle, IL 60532 Fitness; Limited Partner,
DOB: 4/51 Gundersen Real Estate
Partnership; Limited
Partner, Sportsmed LLC
Thomas R. Kadlec Trustee o Indefinite term Senior Vice President (May 56 NONE
c/o First Trust Advisors 2007 to Present), Vice
L.P. o 2006 President and Chief
1001 Warrenville Road Financial Officer (1990 to
Suite 300 May 2007), ADM Investor
Lisle, IL 60532 Services, Inc. (Futures
DOB: 11/57 Commission Merchant); Vice
President (May 2005 to
Present), ADM Derivatives,
Inc.; Registered
Representative (2000 to
present), Segerdahl &
Company, Inc., an NASD
member (Broker-Dealer)
Robert F. Keith Trustee o Indefinite term President (2003 to Present), 56 NONE
c/o First Trust Advisors Hibs Enterprises (Financial
L.P. o 2006 and Management Consulting);
1001 Warrenville Road President (2001 to 2003),
Suite 300 Aramark Service Master
Lisle, IL 60532 Management; President and
DOB: 11/58 Chief Operating Officer
(1998 to 2003), Service
Master Management Services
Niel B. Nielson Trustee o Indefinite term President (June 2002 to 56 Director of
c/o First Trust Advisors Present), Covenant College Covenant
L.P. o 2006 Transport Inc.
1001 Warrenville Road
Suite 300
Lisle, IL 60532
DOB: 3/54
|
1 Mr. Bowen is deemed an "interested person" of the Funds due to his position
as President of First Trust Advisors L.P., investment adviser of the Funds.
Page 125
Board of Trustees and Officers (Unaudited)(Continued)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
-----------------------------------------------------------------------------------------------------------------------------------
Officers
-----------------------------------------------------------------------------------------------------------------------------------
POSITION(S) TERM OF OFFICE
NAME, ADDRESS, AND HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH FUNDS TIME SERVED DURING PAST FIVE YEARS
-----------------------------------------------------------------------------------------------------------------------------------
Mark R. Bradley Treasurer, Controller, o Indefinite term Chief Financial Officer, First Trust Advisors
1001 Warrenville Road Chief Financial Officer L.P. and First Trust Portfolios L.P.; Chief
Suite 300 and Chief Accounting o 2006 Financial Officer, BondWave LLC (Software
Lisle, IL 60532 Officer Development Company/Broker-Dealer) and
DOB: 11/57 Stonebridge Advisors LLC (Investment Adviser)
Kelley Christensen Vice President o Indefinite term Assistant Vice President, First Trust
1001 Warrenville Road Portfolios L.P. and First Trust Advisors L.P.
Suite 300 o 2006
Lisle, IL 60532
DOB: 9/70
James M. Dykas Assistant Treasurer o Indefinite term Senior Vice President (April 2007 to
1001 Warrenville Road Present), Vice President (January 2005 to
Suite 300 o 2006 April 2007), First Trust Advisors L.P. and
Lisle, IL 60532 First Trust Portfolios L.P.; Executive
DOB: 1/66 Director (December 2002 to January 2005),
Vice President (December 2000 to December
2002), Van Kampen Asset Management and Morgan
Stanley Investment Management
W. Scott Jardine Secretary and Chief o Indefinite term General Counsel, First Trust Advisors L.P.
1001 Warrenville Road Compliance Officer ("CCO") and First Trust Portfolios L.P.; Secretary,
Suite 300 o 2006 BondWave LLC (Software Development
Lisle, IL 60532 Company/Broker-Dealer) and Stonebridge
DOB: 5/60 Advisors LLC (Investment Adviser)
Daniel J. Lindquist Vice President o Indefinite term Senior Vice President (September 2005 to
1001 Warrenville Road Present), Vice President (April 2004 to
Suite 300 o 2006 September 2005), First Trust Advisors L.P.
Lisle, IL 60532 and First Trust Portfolios L.P.; Chief
DOB: 2/70 Operating Officer (January 2004 to April
2004), Mina Capital Management, LLC; Chief
Operating Officer (April 2000 to January
2004), Samaritan Asset Management Services,
Inc.
Kristi A. Maher Assistant Secretary o Indefinite term Deputy General Counsel (May 2007 to Present),
1001 Warrenville Road Assistant General Counsel (March 2004 to May
Suite 300 o 2006 2007), First Trust Advisors L.P. and First
Lisle, IL 60532 Trust Portfolios L.P.; Associate (1995-2004),
DOB: 12/66 Chapman and Cutler LLP
Roger Testin Vice President o Indefinite term Senior Vice President (November 2003 to
1001 Warrenville Road Present), Vice President (August 2001 to
Suite 300 o 2006 November 2003), First Trust Portfolios L.P.
Lisle, IL 60532 and First Trust Advisors L.P.; Analyst (1998
DOB: 06/66 to 2001), Dolan Capital Management
Stan Ueland Vice President o Indefinite term Vice President .(August 2005 to Present),
1001 Warrenville Road First Trust Advisors L.P. and First Trust
Suite 300 o 2006 Portfolios L.P; Vice President (May 2004 to
Lisle, IL 60532 August 2005), BondWave LLC (Software
DOB: 11/70 Development Company/Broker-Dealer); Account
Executive (January 2003 to May 2004), Mina
Capital Management, LLC and Samaritan Asset
Management Services, Inc.; Sales Consultant
(January 1997 to January 2003), Oracle
Corporation
|
Page 126
Risk Considerations (Unaudited)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, AND CHARGES AND
EXPENSES CAREFULLY BEFORE INVESTING. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
HTTP://WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT
1-800-621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER
INFORMATION ABOUT THE PARTICULAR FUND. READ IT CAREFULLY BEFORE YOU INVEST.
FIRST TRUST PORTFOLIOS L.P. IS THE DISTRIBUTOR OF THE FIRST TRUST
EXCHANGE-TRADED ALPHADEX(TM) FUND.
RISK CONSIDERATIONS
Each Fund's shares will change in value, and you could lose money by investing
in a Fund. An investment in a Fund involves risks similar to those of investing
in any fund of equity securities traded on an exchange. Investors buying or
selling Fund shares on the secondary market may incur brokerage commissions. In
addition, investors who sell Fund shares may receive less than the shares' net
asset value. Unlike shares of open-end mutual funds, investors are generally not
able to purchase ETF shares directly from a Fund and individual ETF shares are
not redeemable. However, specified large blocks of shares called creation units
can be purchased from, or redeemed to, the Fund
You should anticipate that the value of each Fund's shares will decline, more or
less, in correlation with any decline in the value of that Fund's corresponding
index.
Each Fund's return may not match the return of its corresponding index for a
number of reasons. For example, the Funds incur operating expenses not
applicable to their corresponding indexes, and may incur costs in buying and
selling securities, especially when rebalancing the Fund's portfolio holdings to
reflect changes in the composition of its corresponding index. In addition, the
each Fund's portfolio holdings may not exactly replicate the securities included
in its corresponding index or the ratios between the securities included in such
index.
Each Fund is exposed to additional market risk due to its policy of investing
principally in the securities included in its corresponding index. As a result
of this policy, securities held by each Fund will generally not be bought or
sold in response to market fluctuations and the securities may be issued by
companies concentrated in a particular industry. Therefore, the Funds will
generally not sell a stock because the stock's issuer is in financial trouble,
unless that stock is removed or is anticipated to be removed from a Fund's
index.
Each Fund relies on a license and related sublicense that permits it to use its
corresponding index and associated trade names and trademarks in connection with
the name and investment strategies of the Fund. Such license and related
sublicense may be terminated by the index provider and, as a result, a Fund may
lose its ability to use such intellectual property. In the event the license is
terminated or the index provider does not have rights to license such
intellectual property, it may have a significant effect on the operation of the
respective Fund.
The value of an individual security or particular type of security can be more
volatile than the market as a whole and can perform differently from the value
of the market as a whole.
Each Fund may be concentrated in stocks of companies in an individual industry
or sector if the Fund's corresponding index is concentrated in an individual
industry or sector. You should be aware that an investment in a portfolio that
is concentrated in an individual industry or sector involves additional risk,
including limited diversification.
Each Fund is classified as "non-diversified" under the Investment Company Act of
1940, as amended. As a result, each Fund is only limited as to the percentage of
its assets which may be invested in the securities of any one issuer by the
diversification requirements imposed by the Internal Revenue Code of 1986, as
amended. Because the Funds may invest a relatively high percentage of its assets
in a limited number of issuers, the Funds may be more susceptible to any single
economic, political or regulatory occurrence and to the financial conditions of
the issuers in which it invests.
The First Trust Consumer Discretionary AlphaDEX(TM) Fund, the First Trust
Consumer Staples AlphaDEX(TM) Fund, the First Trust Energy AlphaDEX(TM) Fund,
the First Trust Financials AlphaDEX(TM) Fund, the FIRst Trust Health Care
AlphaDEX(TM) Fund, the First Trust Industrials/Producer Durables AlphaDEX(TM)
FunD, the First Trust Materials AlphaDEX(TM) Fund, the First Trust Technology
AlphaDEX(TM) Fund, the FirsT Trust Utilities AlphaDEX(TM) Fund, the First Trust
Multi Cap Value AlphaDEX(TM) Fund and the First TRust Multi Cap Growth
AlphaDEX(TM) Fund may invest in small capitalization and mid capitalization
companies. Such companies may experience greater price volatility than larger,
more established companies.
The First Trust Mid Cap Core AlphaDEX(TM) Fund invests in mid-cap companies and
is subject to additional risks because such companies may be more vulnerable to
adverse general market or economic developments, and their securities may be
less liquid and may experience greater price volatility than larger, more
established companies.
Page 127
Risk Considerations (Unaudited)(Continued)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
The First Trust Small Cap Core AlphaDEX(TM) Fund invests in small-cap companies
and is subject to additional risks, as the share prices of small-cap companies
are often more volatile than those of larger companies.
The First Trust Large Cap Value Opportunities AlphaDEX(TM) Fund and the First
Trust Multi Cap Value AlphaDEX(TM) Fund invest with a value-oriented investment
style and may not be successful in realizing their respective investment
objectives. Value companies may have experienced adverse business developments
or may be subject to special risks that cause their securities to be out of
favor, may never reach what may be their full value or may go down in price.
The First Trust Large Cap Growth Opportunities AlphaDEX(TM) Fund the First Trust
Multi Cap Growth AlphaDEX(TM) Fund invest with a growth-oriented investment
style and may not be successful in realizing their respective investment
objectives. Securities of growth companies may experience significant
fluctuations in price in response to economic, political, regulatory, company
specific, sector or market developments, changes in perceptions or interest rate
changes.
The First Trust Consumer Discretionary AlphaDEX(TM) Fund invests in the
securities of companies in the consumer discretionary sector. Because companies
in the consumer discretionary sector manufacture products and provide
discretionary services directly to the consumer, the success of these companies
is tied closely to the performance of the overall domestic and international
economy, interest rates, competition and consumer confidence. Success depends
heavily on disposable household income and consumer spending. Changes in
demographics and consumer tastes can also affect the demand for, and success of,
consumer discretionary products in the marketplace.
The First Trust Consumer Staples AlphaDEX(TM) Fund invests in the securities of
companies in the consumer staples sector. Because companies in the consumer
staples sector provide products directly to the consumer that are typically
considered non-discretionary items based on consumer purchasing habits, these
companies may be affected by a variety of factors which could impact company
profitability. For instance, government regulations may affect the
permissibility of using various food additives and the production methods of
companies that manufacture food products. Tobacco companies may be adversely
affected by the adoption of proposed legislation and/or by litigation. Also, the
success of foods and soft drinks may be strongly affected by fads, marketing
campaigns and other factors affecting supply and demand.
The First Trust Energy AlphaDEX(TM) Fund invests in the securities of companies
in the energy sectoR. The companies in the energy sector include integrated oil
companies that are involved in the exploration, production and refining process,
gas distributors and pipeline-related companies and other energy companies
involved with mining, producing and delivering energy-related services and
drilling. General problems of issuers in the energy sector include volatile
fluctuations in price and supply of energy fuels, international politics,
terrorist attacks, reduced demand as a result of increases in energy efficiency
and energy conservation, the success of exploration projects, clean-up and
litigation costs relating to oil spills and environmental damage, and tax and
other regulatory policies of various governments. Natural disasters such as
hurricanes in the Gulf of Mexico will also impact the petroleum industry. Oil
production and refining companies are subject to extensive federal, state and
local environmental laws and regulations regarding air emissions and the
disposal of hazardous materials. In addition, declines in U.S. and Russian crude
oil production will likely lead to a greater world dependence on oil from OPEC
nations, which may result in more volatile oil prices.
The First Trust Financials AlphaDEX(TM) Fund invests in the securities of
companies in the financiaLS sector. Banks, thrifts and their holding companies
are especially subject to the adverse effects of economic recession; volatile
interest rates; portfolio concentrations in geographic markets and in commercial
and residential real estate loans; and competition from new entrants in their
fields of business. Although the barriers which separated the banking, insurance
and securities industries were eliminated by legislation, these industries are
still extensively regulated at both the federal and state level and may be
adversely affected by increased regulations.
The First Trust Health Care AlphaDEX(TM) Fund invests in the securities of
companies in the health care sector. Because companies in the health care sector
are involved in medical services or health care including biotechnology research
and production, drugs and pharmaceuticals, and health care facilities and
services, general problems of these companies include extensive competition,
generic drug sales or the loss of patent protection, product liability
litigation and increased government regulation. Research and development costs
of bringing new drugs to market are substantial, and there is no guarantee that
the product will ever come to market. Health care facility operators may be
affected by the demand for services, efforts by government or insurers to limit
rates, restriction of government financial assistance and competition from other
providers.
The First Trust Industrials/Producer Durables AlphaDEX(TM) Fund invests in the
securities of companies in the industrials and producer durables sectors. Many
companies in these sectors convert unfinished goods into finished durables used
to manufacture other goods or provide services. Some industries included in
these sectors are electrical equipment and components, industrial products,
manufactured housing and telecommunications equipment. General risks of these
companies include the general state of the economy, intense competition,
consolidation, domestic and international politics, excess capacity and consumer
Page 128
Risk Considerations (Unaudited)(Continued)
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
JULY 31, 2007
demand and spending trends. In addition, they may also be significantly affected
by overall capital spending levels, economic cycles, technical obsolescence,
delays in modernization, labor relations, government regulations and e-commerce
initiatives.
The First Trust Materials AlphaDEX(TM) Fund invests in the securities of
companies in the materials sector. Because companies in the materials sector are
involved in the extracting or processing of raw materials, general risks of
these companies include the general state of the economy, consolidation,
domestic and international politics and excess capacity. In addition, materials
companies may also be significantly affected by volatility of commodity prices,
import controls, worldwide competition, liability for environmental damage,
depletion of resources, and mandated expenditures for safety and pollution
control devices.
The First Trust Technology AlphaDEX(TM) Fund invests in the securities of
companies in the technoloGY sector. Because companies in the technology sector
serve the electronics and computer industries or manufacture products based on
the latest applied science, general risks of these companies include the risks
of rapidly changing technologies, short product life cycles, fierce competition,
aggressive pricing and reduced profit margins, loss of patent, copyright and
trademark protections, cyclical market patterns, evolving industry standards,
and frequent new product introductions. Technology companies may be smaller and
less experienced companies, with limited product lines, markets or financial
resources and fewer experienced management or marketing personnel. Technology
company stocks, particularly those involved with the Internet, have experienced
extreme price and volume fluctuations that often have been unrelated to their
operating performance. Also, the stocks of many technology companies have
exceptionally high price-to-earning ratios with little or no earnings histories.
The First Trust Utilities AlphaDEX(TM) Fund invests in the securities of
companies in the utilities sector. General problems of issuers in the utilities
sector include the imposition of rate caps, increased competition due to
deregulation, the difficulty in obtaining an adequate return on invested capital
or in financing large construction projects, the limitations on operations and
increased costs and delays attributable to environmental considerations, and the
capital market's ability to absorb utility debt. In addition, taxes, government
regulation, international politics, price and supply fluctuations, volatile
interest rates and energy conservation may cause difficulties for utilities. All
of such issuers have been experiencing certain of these problems in varying
degrees.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Page 129
[LOGO OMITTED] FIRST TRUST
ADVISORS, L.P.
FIRST TRUST EXCHANGE-TRADED ALPHADEX(TM) FUND
INVESTMENT ADVISOR
First Trust Advisors L.P.
1001 Warrenville Road
Lisle, IL 60532
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York
101 Barclay Street
New York, NY 10286
BOARD ADMINISTRATOR
PFPC, Inc.
301 Bellevue Parkway
Wilmington, DE 19809
INDEPENDENT REGISTERED
PUBLIC ACCOUNTANT
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
CHAPMAN AND CUTLER LLP
111 W. MONROE STREET
CHICAGO, IL 60603
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